Large Deviations and Asymptotic Methods in Finance

Nonfiction, Science & Nature, Mathematics, Applied, Statistics, Business & Finance
Cover of the book Large Deviations and Asymptotic Methods in Finance by , Springer International Publishing
View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart
Author: ISBN: 9783319116051
Publisher: Springer International Publishing Publication: June 16, 2015
Imprint: Springer Language: English
Author:
ISBN: 9783319116051
Publisher: Springer International Publishing
Publication: June 16, 2015
Imprint: Springer
Language: English

Topics covered in this volume (large deviations, differential geometry, asymptotic expansions, central limit theorems) give a full picture of the current advances in the application of asymptotic methods in mathematical finance, and thereby provide rigorous solutions to important mathematical and financial issues, such as implied volatility asymptotics, local volatility extrapolation, systemic risk and volatility estimation. This volume gathers together ground-breaking results in this field by some of its leading experts.

Over the past decade, asymptotic methods have played an increasingly important role in the study of the behaviour of (financial) models. These methods provide a useful alternative to numerical methods in settings where the latter may lose accuracy (in extremes such as small and large strikes, and small maturities), and lead to a clearer understanding of the behaviour of models, and of the influence of parameters on this behaviour.

Graduate students, researchers and practitioners will find this book very useful, and the diversity of topics will appeal to people from mathematical finance, probability theory and differential geometry.

View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart

Topics covered in this volume (large deviations, differential geometry, asymptotic expansions, central limit theorems) give a full picture of the current advances in the application of asymptotic methods in mathematical finance, and thereby provide rigorous solutions to important mathematical and financial issues, such as implied volatility asymptotics, local volatility extrapolation, systemic risk and volatility estimation. This volume gathers together ground-breaking results in this field by some of its leading experts.

Over the past decade, asymptotic methods have played an increasingly important role in the study of the behaviour of (financial) models. These methods provide a useful alternative to numerical methods in settings where the latter may lose accuracy (in extremes such as small and large strikes, and small maturities), and lead to a clearer understanding of the behaviour of models, and of the influence of parameters on this behaviour.

Graduate students, researchers and practitioners will find this book very useful, and the diversity of topics will appeal to people from mathematical finance, probability theory and differential geometry.

More books from Springer International Publishing

Cover of the book Advances in Automation and Robotics Research in Latin America by
Cover of the book Jane Austen and the Victorian Heroine by
Cover of the book Contractualisation of Family Law - Global Perspectives by
Cover of the book Applied Regression Analysis for Business by
Cover of the book Progress in Optomechatronic Technologies by
Cover of the book Perspectives on Peacekeeping and Atrocity Prevention by
Cover of the book XUV Pump-Probe Experiments on Diatomic Molecules by
Cover of the book Advances in Research on Fertilization Management of Vegetable Crops by
Cover of the book Recent Advances in Intelligent Image Search and Video Retrieval by
Cover of the book Optimization and Applications by
Cover of the book Information Technology and Intelligent Transportation Systems by
Cover of the book Statistical Inference for Financial Engineering by
Cover of the book Translating Molecular Biomarkers into Clinical Assays by
Cover of the book Handbook of Behavioral Criminology by
Cover of the book Forbidden Football in Ceausescu’s Romania by
We use our own "cookies" and third party cookies to improve services and to see statistical information. By using this website, you agree to our Privacy Policy