Asymptotic Chaos Expansions in Finance

David Nicolay ()

in Springer Finance from Springer, currently edited by Francesca Biagini, Bruno Bouchard, Mark Broadie, Paolo Guasoni, Charles-Albert Lehalle, Mathieu Rosenbaum

Date: 2014
Edition: 2014
ISBN: 978-1-4471-6506-4
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Chapters in this book:

Ch Chapter 1 Introduction

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Ch Chapter 2 Volatility Dynamics for a Single Underlying: Foundations

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Ch Chapter 3 Volatility Dynamics for a Single Underlying: Advanced Methods

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Ch Chapter 4 Practical Applications and Testing

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Ch Chapter 5 Volatility Dynamics in a Term Structure

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Ch Chapter 6 Implied Dynamics in the SV-HJM Framework

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Ch Chapter 7 Implied Dynamics in the SV-LMM Framework

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Ch Chapter 8 Conclusion

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DOI: 10.1007/978-1-4471-6506-4

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