Large Deviations and Asymptotic Methods in Finance - Springer Proceedings in Mathematics & Statistics
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9783319116044, 9783319116051

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Asymptotic Expansion Approach in Finance

Large Deviations and Asymptotic Methods in Finance - Springer Proceedings in Mathematics & Statistics ◽

10.1007/978-3-319-11605-1_13 ◽

2015 ◽

pp. 345-411 ◽

Cited By ~ 15

Author(s):

Akihiko Takahashi

Keyword(s):

Asymptotic Expansion

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The Gärtner-Ellis Theorem, Homogenization, and Affine Processes

Large Deviations and Asymptotic Methods in Finance - Springer Proceedings in Mathematics & Statistics ◽

10.1007/978-3-319-11605-1_11 ◽

2015 ◽

pp. 287-320 ◽

Cited By ~ 2

Author(s):

Archil Gulisashvili ◽

Josef Teichmann

Keyword(s):

Affine Processes

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Asymptotics for $$d$$ -Dimensional Lévy-Type Processes

Large Deviations and Asymptotic Methods in Finance - Springer Proceedings in Mathematics & Statistics ◽

10.1007/978-3-319-11605-1_12 ◽

2015 ◽

pp. 321-343

Author(s):

Matthew Lorig ◽

Stefano Pagliarani ◽

Andrea Pascucci

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Long Time Asymptotics for Optimal Investment

Large Deviations and Asymptotic Methods in Finance - Springer Proceedings in Mathematics & Statistics ◽

10.1007/978-3-319-11605-1_18 ◽

2015 ◽

pp. 507-528 ◽

Cited By ~ 2

Author(s):

Huyên Pham

Keyword(s):

Optimal Investment ◽

Time Asymptotics ◽

Long Time ◽

Long Time Asymptotics

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Implied Volatility from Local Volatility: A Path Integral Approach

Large Deviations and Asymptotic Methods in Finance - Springer Proceedings in Mathematics & Statistics ◽

10.1007/978-3-319-11605-1_9 ◽

2015 ◽

pp. 247-271 ◽

Cited By ~ 1

Author(s):

Tai-Ho Wang ◽

Jim Gatheral

Keyword(s):

Path Integral ◽

Implied Volatility ◽

Integral Approach ◽

Local Volatility ◽

Path Integral Approach

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Second Order Expansion for Implied Volatility in Two Factor Local Stochastic Volatility Models and Applications to the Dynamic $$\lambda $$ -Sabr Model

Large Deviations and Asymptotic Methods in Finance - Springer Proceedings in Mathematics & Statistics ◽

10.1007/978-3-319-11605-1_4 ◽

2015 ◽

pp. 89-136 ◽

Cited By ~ 9

Author(s):

Gérard Ben Arous ◽

Peter Laurence

Keyword(s):

Stochastic Volatility ◽

Implied Volatility ◽

Second Order ◽

Stochastic Volatility Models ◽

Volatility Models ◽

Order Expansion ◽

Sabr Model

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On Small Time Asymptotics for Rough Differential Equations Driven by Fractional Brownian Motions

Large Deviations and Asymptotic Methods in Finance - Springer Proceedings in Mathematics & Statistics ◽

10.1007/978-3-319-11605-1_14 ◽

2015 ◽

pp. 413-438 ◽

Cited By ~ 2

Author(s):

Fabrice Baudoin ◽

Cheng Ouyang

Keyword(s):

Differential Equations ◽

Small Time ◽

Brownian Motions ◽

Fractional Brownian Motions ◽

Time Asymptotics ◽

Small Time Asymptotics

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On the Probability Density Function of Baskets

Large Deviations and Asymptotic Methods in Finance - Springer Proceedings in Mathematics & Statistics ◽

10.1007/978-3-319-11605-1_16 ◽

2015 ◽

pp. 449-472 ◽

Cited By ~ 3

Author(s):

Christian Bayer ◽

Peter K. Friz ◽

Peter Laurence

Keyword(s):

Probability Density Function ◽

Probability Density ◽

Density Function

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A Remark on Gatheral’s ‘Most-Likely Path Approximation’ of Implied Volatility

Large Deviations and Asymptotic Methods in Finance - Springer Proceedings in Mathematics & Statistics ◽

10.1007/978-3-319-11605-1_8 ◽

2015 ◽

pp. 239-245 ◽

Cited By ~ 2

Author(s):

Martin Keller-Ressel ◽

Josef Teichmann

Keyword(s):

Implied Volatility ◽

Path Approximation

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Asymptotic Implied Volatility at the Second Order with Application to the SABR Model

Large Deviations and Asymptotic Methods in Finance - Springer Proceedings in Mathematics & Statistics ◽

10.1007/978-3-319-11605-1_2 ◽

2015 ◽

pp. 37-69 ◽

Cited By ~ 16

Author(s):

Louis Paulot

Keyword(s):

Implied Volatility ◽

Second Order ◽

Sabr Model

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Large Deviations and Asymptotic Methods in Finance - Springer Proceedings in Mathematics & StatisticsLatest Publications

TOTAL DOCUMENTS

H-INDEX

Published By Springer International Publishing

Asymptotic Expansion Approach in Finance

The Gärtner-Ellis Theorem, Homogenization, and Affine Processes

Asymptotics for $$d$$ -Dimensional Lévy-Type Processes

Long Time Asymptotics for Optimal Investment

Implied Volatility from Local Volatility: A Path Integral Approach

Second Order Expansion for Implied Volatility in Two Factor Local Stochastic Volatility Models and Applications to the Dynamic $$\lambda $$ -Sabr Model

On Small Time Asymptotics for Rough Differential Equations Driven by Fractional Brownian Motions

On the Probability Density Function of Baskets

A Remark on Gatheral’s ‘Most-Likely Path Approximation’ of Implied Volatility

Asymptotic Implied Volatility at the Second Order with Application to the SABR Model

Large Deviations and Asymptotic Methods in Finance - Springer Proceedings in Mathematics & Statistics
Latest Publications