Introduction

David Nicolay ()

Chapter Chapter 1 in Asymptotic Chaos Expansions in Finance, 2014, pp 1-20 from Springer

Abstract: Abstract This study initially stemmed from my general interest in incomplete markets, which then shifted more specifically to the issue of unobservable and/or unrepresented state variables and dynamics, before settling on the more general notion of model risk. Also, underlying the obvious academic potential was a more practical focus on how the calibration and the hedging algorithms should be managed and coordinated, in order to mitigate that model risk.

Keywords: Market Model; Stochastic Volatility; Implied Volatility; Stochastic Volatility Model; European Option (search for similar items in EconPapers)
Date: 2014
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DOI: 10.1007/978-1-4471-6506-4_1

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