Asymptotic Chaos Expansions in Finance: Theory and Practice
Author:   David Nicolay
Publisher:   Springer London Ltd
Edition:   2014 ed.
ISBN:  

9781447165057


Pages:   491
Publication Date:   05 December 2014
Format:   Paperback
Availability:   Manufactured on demand   Availability explained
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Asymptotic Chaos Expansions in Finance: Theory and Practice


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Author:   David Nicolay
Publisher:   Springer London Ltd
Imprint:   Springer London Ltd
Edition:   2014 ed.
Dimensions:   Width: 15.50cm , Height: 2.60cm , Length: 23.50cm
Weight:   8.662kg
ISBN:  

9781447165057


ISBN 10:   1447165055
Pages:   491
Publication Date:   05 December 2014
Audience:   Professional and scholarly ,  Professional & Vocational
Format:   Paperback
Publisher's Status:   Active
Availability:   Manufactured on demand   Availability explained
We will order this item for you from a manufactured on demand supplier.

Table of Contents

Introduction.- Volatility dynamics for a single underlying: foundations.- Volatility dynamics for a single underlying: advanced methods.- Practical applications and testing.- Volatility dynamics in a term structure.- Implied Dynamics in the SV-HJM framework.- Implied Dynamics in the SV-LMM framework.- Conclusion.

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Author Information

David Nicolay received his Ph.D. degree in financial mathematics from Ecole Polytechnique, France. Currently he is a front office quantitative researcher for a financial institution in London. His research interests include the modelling of interest rates and hybrid derivatives, Monte-Carlo methods and asymptotic approaches.

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