Asymptotic Chaos Expansions In Finance
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Asymptotic Chaos Expansions In Finance
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Author : David Nicolay
language : en
Publisher: Springer
Release Date : 2014-11-25
Asymptotic Chaos Expansions In Finance written by David Nicolay and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-11-25 with Mathematics categories.
Stochastic instantaneous volatility models such as Heston, SABR or SV-LMM have mostly been developed to control the shape and joint dynamics of the implied volatility surface. In principle, they are well suited for pricing and hedging vanilla and exotic options, for relative value strategies or for risk management. In practice however, most SV models lack a closed form valuation for European options. This book presents the recently developed Asymptotic Chaos Expansions methodology (ACE) which addresses that issue. Indeed its generic algorithm provides, for any regular SV model, the pure asymptotes at any order for both the static and dynamic maps of the implied volatility surface. Furthermore, ACE is programmable and can complement other approximation methods. Hence it allows a systematic approach to designing, parameterising, calibrating and exploiting SV models, typically for Vega hedging or American Monte-Carlo. Asymptotic Chaos Expansions in Finance illustrates the ACE approach for single underlyings (such as a stock price or FX rate), baskets (indexes, spreads) and term structure models (especially SV-HJM and SV-LMM). It also establishes fundamental links between the Wiener chaos of the instantaneous volatility and the small-time asymptotic structure of the stochastic implied volatility framework. It is addressed primarily to financial mathematics researchers and graduate students, interested in stochastic volatility, asymptotics or market models. Moreover, as it contains many self-contained approximation results, it will be useful to practitioners modelling the shape of the smile and its evolution.
Parameter Estimation In Stochastic Volatility Models
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Author : Jaya P. N. Bishwal
language : en
Publisher: Springer Nature
Release Date : 2022-08-06
Parameter Estimation In Stochastic Volatility Models written by Jaya P. N. Bishwal and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-08-06 with Mathematics categories.
This book develops alternative methods to estimate the unknown parameters in stochastic volatility models, offering a new approach to test model accuracy. While there is ample research to document stochastic differential equation models driven by Brownian motion based on discrete observations of the underlying diffusion process, these traditional methods often fail to estimate the unknown parameters in the unobserved volatility processes. This text studies the second order rate of weak convergence to normality to obtain refined inference results like confidence interval, as well as nontraditional continuous time stochastic volatility models driven by fractional Levy processes. By incorporating jumps and long memory into the volatility process, these new methods will help better predict option pricing and stock market crash risk. Some simulation algorithms for numerical experiments are provided.
Stochastic Volatility Modeling
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Author : Lorenzo Bergomi
language : en
Publisher: CRC Press
Release Date : 2015-12-16
Stochastic Volatility Modeling written by Lorenzo Bergomi and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-12-16 with Business & Economics categories.
Packed with insights, Lorenzo Bergomi's Stochastic Volatility Modeling explains how stochastic volatility is used to address issues arising in the modeling of derivatives, including:Which trading issues do we tackle with stochastic volatility? How do we design models and assess their relevance? How do we tell which models are usable and when does c
Handbook Of Research On Modeling Analysis And Control Of Complex Systems
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Author : Azar, Ahmad Taher
language : en
Publisher: IGI Global
Release Date : 2020-12-05
Handbook Of Research On Modeling Analysis And Control Of Complex Systems written by Azar, Ahmad Taher and has been published by IGI Global this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-12-05 with Mathematics categories.
The current literature on dynamic systems is quite comprehensive, and system theory’s mathematical jargon can remain quite complicated. Thus, there is a need for a compendium of accessible research that involves the broad range of fields that dynamic systems can cover, including engineering, life sciences, and the environment, and which can connect researchers in these fields. The Handbook of Research on Modeling, Analysis, and Control of Complex Systems is a comprehensive reference book that describes the recent developments in a wide range of areas including the modeling, analysis, and control of dynamic systems, as well as explores related applications. The book acts as a forum for researchers seeking to understand the latest theory findings and software problem experiments. Covering topics that include chaotic maps, predictive modeling, random bit generation, and software bug prediction, this book is ideal for professionals, academicians, researchers, and students in the fields of electrical engineering, computer science, control engineering, robotics, power systems, and biomedical engineering.
Geometry And Invariance In Stochastic Dynamics
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Author : Stefania Ugolini
language : en
Publisher: Springer Nature
Release Date : 2022-02-09
Geometry And Invariance In Stochastic Dynamics written by Stefania Ugolini and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-02-09 with Mathematics categories.
This book grew out of the Random Transformations and Invariance in Stochastic Dynamics conference held in Verona from the 25th to the 28th of March 2019 in honour of Sergio Albeverio. It presents the new area of studies concerning invariance and symmetry properties of finite and infinite dimensional stochastic differential equations.This area constitutes a natural, much needed, extension of the theory of classical ordinary and partial differential equations, where the reduction theory based on symmetry and invariance of such classical equations has historically proved to be very important both for theoretical and numerical studies and has given rise to important applications. The purpose of the present book is to present the state of the art of the studies on stochastic systems from this point of view, present some of the underlying fundamental ideas and methods involved, and to outline the main lines for future developments. The main focus is on bridging the gap between deterministic and stochastic approaches, with the goal of contributing to the elaboration of a unified theory that will have a great impact both from the theoretical point of view and the point of view of applications. The reader is a mathematician or a theoretical physicist. The main discipline is stochastic analysis with profound ideas coming from Mathematical Physics and Lie’s Group Geometry. While the audience consists essentially of academicians, the reader can also be a practitioner with Ph.D., who is interested in efficient stochastic modelling.
Generalized Poisson Models And Their Applications In Insurance And Finance
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Author : Vladimir E. Bening
language : en
Publisher: Walter de Gruyter
Release Date : 2012-06-11
Generalized Poisson Models And Their Applications In Insurance And Finance written by Vladimir E. Bening and has been published by Walter de Gruyter this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-06-11 with Business & Economics categories.
The series is devoted to the publication of high-level monographs and surveys which cover the whole spectrum of probability and statistics. The books of the series are addressed to both experts and advanced students.
Signed Path Dependence In Financial Markets
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Author : Fabio Dias
language : en
Publisher: Ink Magic Publishing
Release Date : 2021-02-17
Signed Path Dependence In Financial Markets written by Fabio Dias and has been published by Ink Magic Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-02-17 with Science categories.
In Signed path dependence in financial markets: Applications and implications, computer scientist and academic Fabio Dias delves into cutting-edge techniques at the intersection of machine learning, time series analysis, and finance. This comprehensive guide bridges theory and application, offering readers insights into predictive modeling, algorithmic trading, and the nuanced dynamics of option pricing. Dias combines rigorous econometric methods with hands-on machine learning approaches, presenting a toolkit for anyone looking to leverage data-driven insights to navigate and predict complex financial markets. An essential read for practitioners, researchers, and students of financial engineering and quantitative finance.
Advanced Financial Modelling
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Author : Hansjörg Albrecher
language : en
Publisher: Walter de Gruyter
Release Date : 2009
Advanced Financial Modelling written by Hansjörg Albrecher and has been published by Walter de Gruyter this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with Business & Economics categories.
This book is a collection of state-of-the-art surveys on various topics in mathematical finance, with an emphasis on recent modelling and computational approaches. The volume is related to a 'Special Semester on Stochastics with Emphasis on Finance' that took place from September to December 2008 at the Johann Radon Institute for Computational and Applied Mathematics of the Austrian Academy of Sciences in Linz, Austria.
Long Range Dependence And Self Similarity
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Author : Vladas Pipiras
language : en
Publisher: Cambridge University Press
Release Date : 2017-04-18
Long Range Dependence And Self Similarity written by Vladas Pipiras and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-04-18 with Business & Economics categories.
A modern and rigorous introduction to long-range dependence and self-similarity, complemented by numerous more specialized up-to-date topics in this research area.
Issues In Logic Probability Combinatorics And Chaos Theory 2013 Edition
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Author :
language : en
Publisher: ScholarlyEditions
Release Date : 2013-05-01
Issues In Logic Probability Combinatorics And Chaos Theory 2013 Edition written by and has been published by ScholarlyEditions this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-05-01 with Mathematics categories.
Issues in Logic, Probability, Combinatorics, and Chaos Theory: 2013 Edition is a ScholarlyEditions™ book that delivers timely, authoritative, and comprehensive information about Approximation Theory. The editors have built Issues in Logic, Probability, Combinatorics, and Chaos Theory: 2013 Edition on the vast information databases of ScholarlyNews.™ You can expect the information about Approximation Theory in this book to be deeper than what you can access anywhere else, as well as consistently reliable, authoritative, informed, and relevant. The content of Issues in Logic, Probability, Combinatorics, and Chaos Theory: 2013 Edition has been produced by the world’s leading scientists, engineers, analysts, research institutions, and companies. All of the content is from peer-reviewed sources, and all of it is written, assembled, and edited by the editors at ScholarlyEditions™ and available exclusively from us. You now have a source you can cite with authority, confidence, and credibility. More information is available at http://www.ScholarlyEditions.com/.