標(biāo)題: Titlebook: Large Deviations and Asymptotic Methods in Finance; Peter K. Friz,Jim Gatheral,Josef Teichmann Conference proceedings 2015 Springer Intern [打印本頁] 作者: SORB 時間: 2025-3-21 16:35
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書目名稱Large Deviations and Asymptotic Methods in Finance讀者反饋學(xué)科排名
作者: 典型 時間: 2025-3-21 23:31
Asymptotic Implied Volatility at the Second Order with Application to the SABR Model,n. Beyond the order 0 implied volatility which is already known, we compute the first order correction exactly at all strikes from the scalar coefficient of the heat kernel expansion. Furthermore, the first correction in the heat kernel expansion gives the second order correction for implied volatil作者: 男生如果明白 時間: 2025-3-22 02:11 作者: Redundant 時間: 2025-3-22 04:48
Second Order Expansion for Implied Volatility in Two Factor Local Stochastic Volatility Models and the short time asymptotics of the local volatility function in a family of time inhomogeneous local-stochastic volatility models. With the local volatility function at our disposal, we show how recent results (Gatheral et al., Math. Financ. 22:591–620, 2012, [.]) for one dimensional diffusions can 作者: Delude 時間: 2025-3-22 09:37 作者: 打包 時間: 2025-3-22 13:17 作者: hair-bulb 時間: 2025-3-22 18:26 作者: 惡心 時間: 2025-3-22 21:53
Implied Volatility from Local Volatility: A Path Integral Approach,y in terms of a path integral then follows. By Taylor-expanding around a certain path, we obtain a generalization of the heat kernel expansion of the density which coincides with the classical one in the time-homogeneous case, but is more accurate and natural in the time inhomogeneous case. As a fur作者: habile 時間: 2025-3-23 01:49
,Extrapolation Analytics for Dupire’s Local Volatility,ses our approximation formula from a practical and numerical perspective, the present paper focuses on rigorous proofs of the approximations. We apply the saddle point method (Heston model) and Hankel contour integration (variance gamma model).作者: ABYSS 時間: 2025-3-23 05:33
,The G?rtner-Ellis Theorem, Homogenization, and Affine Processes,a special family of functions having a similar Laplace principle expansion up?to order one to that of the original family of measures. The construction of the special family of functions mentioned above is based on heat kernel expansions. Some of the ideas employed in the paper come from the theory 作者: 租約 時間: 2025-3-23 16:00
Asymptotic Expansion Approach in Finance,plicable methodology for analytical approximations of expectations of certain Wiener functionals. Hence not only academic researchers but also practitioners have been applying the scheme to a variety of problems in finance such as pricing and hedging derivatives under high-dimensional stochastic env作者: Thyroxine 時間: 2025-3-23 20:02
On the Probability Density Function of Baskets,as statement on the sum of lognormals and is especially annoying for such are used most frequently in Financial and Actuarial Mathematics.) In this note we discuss short time and small volatility expansions, respectively. The method works for general multi-factor models with correlations and leads t作者: insightful 時間: 2025-3-23 23:28 作者: 遠(yuǎn)足 時間: 2025-3-24 02:44
Long Time Asymptotics for Optimal Investment,rget growth rate of wealth process (ii) minimize the probability of falling below a target growth rate. We study the asymptotic behavior of these criteria formulated as large deviations control problems, that we solve by duality method leading to ergodic risk-sensitive portfolio optimization problem作者: 肥料 時間: 2025-3-24 07:52 作者: Enthralling 時間: 2025-3-24 11:10
Patrick Hagan,Andrew Lesniewski,Diana Woodwardgens wird er modern akzentuiert: Inner- senden Monographie und Retrospektive verge- halb der Spannung von Tradition undO Moder- genwartigt. Nicht zufallig wird die Ausstellung ne, von Altem und Neuem vollzieht er ent- in der Stadtischen Galerie Delmenhorst, Haus schieden die Abkehr vom historischen 作者: 耐寒 時間: 2025-3-24 17:54 作者: chlorosis 時間: 2025-3-24 22:36 作者: Grasping 時間: 2025-3-25 02:08 作者: Antagonist 時間: 2025-3-25 04:44
Yasufumi Osajimak is a new exploration of Werner’s ideas and their social contexts – in Vienna in his student years, in Hamburg up to 1933, followed by the years of transit as an immigrant to America at times of economic depression, finally culminating in his establishment of the prominent "Clark tradition" in Amer作者: 窒息 時間: 2025-3-25 09:07 作者: Arboreal 時間: 2025-3-25 12:16
Christian Bayer,Peter Laurences.Demonstrates how the history of a line of thought continue.Heinz Werner (1890-1964) was one of the three key developmental psychologists of the 20th century – along with Jean Piaget and Lev Vygotsky. This book is a new exploration of Werner’s ideas and their social contexts – in Vienna in his stud作者: fidelity 時間: 2025-3-25 17:41 作者: Control-Group 時間: 2025-3-25 20:07 作者: 沒有準(zhǔn)備 時間: 2025-3-26 00:24
Peter Friz,Stefan Gerholdk is a new exploration of Werner’s ideas and their social contexts – in Vienna in his student years, in Hamburg up to 1933, followed by the years of transit as an immigrant to America at times of economic depression, finally culminating in his establishment of the prominent "Clark tradition" in Amer作者: 斑駁 時間: 2025-3-26 05:07
Archil Gulisashvili,Josef Teichmannk is a new exploration of Werner’s ideas and their social contexts – in Vienna in his student years, in Hamburg up to 1933, followed by the years of transit as an immigrant to America at times of economic depression, finally culminating in his establishment of the prominent "Clark tradition" in Amer作者: 享樂主義者 時間: 2025-3-26 10:15
Matthew Lorig,Stefano Pagliarani,Andrea Pascuccis.Demonstrates how the history of a line of thought continue.Heinz Werner (1890-1964) was one of the three key developmental psychologists of the 20th century – along with Jean Piaget and Lev Vygotsky. This book is a new exploration of Werner’s ideas and their social contexts – in Vienna in his stud作者: uncertain 時間: 2025-3-26 14:10
Akihiko Takahashis.Demonstrates how the history of a line of thought continue.Heinz Werner (1890-1964) was one of the three key developmental psychologists of the 20th century – along with Jean Piaget and Lev Vygotsky. This book is a new exploration of Werner’s ideas and their social contexts – in Vienna in his stud作者: Itinerant 時間: 2025-3-26 18:15
Fabrice Baudoin,Cheng Ouyangs.Demonstrates how the history of a line of thought continue.Heinz Werner (1890-1964) was one of the three key developmental psychologists of the 20th century – along with Jean Piaget and Lev Vygotsky. This book is a new exploration of Werner’s ideas and their social contexts – in Vienna in his stud作者: 決定性 時間: 2025-3-27 00:22 作者: 煩躁的女人 時間: 2025-3-27 04:55
Christian Bayer,Peter K. Friz,Peter Laurencek is a new exploration of Werner’s ideas and their social contexts – in Vienna in his student years, in Hamburg up to 1933, followed by the years of transit as an immigrant to America at times of economic depression, finally culminating in his establishment of the prominent "Clark tradition" in Amer作者: 鎮(zhèn)壓 時間: 2025-3-27 06:58
Giovanni Conforti,Stefano De Marco,Jean-Dominique Deuschels.Demonstrates how the history of a line of thought continue.Heinz Werner (1890-1964) was one of the three key developmental psychologists of the 20th century – along with Jean Piaget and Lev Vygotsky. This book is a new exploration of Werner’s ideas and their social contexts – in Vienna in his stud作者: 自由職業(yè)者 時間: 2025-3-27 10:30
Huyên Phams.Demonstrates how the history of a line of thought continue.Heinz Werner (1890-1964) was one of the three key developmental psychologists of the 20th century – along with Jean Piaget and Lev Vygotsky. This book is a new exploration of Werner’s ideas and their social contexts – in Vienna in his stud作者: set598 時間: 2025-3-27 14:07 作者: Endearing 時間: 2025-3-27 17:58 作者: Fissure 時間: 2025-3-27 23:08 作者: Intruder 時間: 2025-3-28 05:56 作者: LAVA 時間: 2025-3-28 09:27
Springer Proceedings in Mathematics & Statisticshttp://image.papertrans.cn/l/image/581327.jpg作者: 松緊帶 時間: 2025-3-28 12:36 作者: 很像弓] 時間: 2025-3-28 16:00
,A Remark on Gatheral’s ‘Most-Likely Path Approximation’ of Implied Volatility,We give a new proof of the representation of implied volatility as a time-average of weighted expectations of local or stochastic volatility. With this proof we clarify the question of existence of ‘forward implied variance’ in the original derivation of Gatheral, who introduced this representation in his book ‘The Volatility Surface’.作者: 能得到 時間: 2025-3-28 22:12
On Small Time Asymptotics for Rough Differential Equations Driven by Fractional Brownian Motions,We survey existing results concerning the study in small times of the density of the solution of a rough differential equation driven by fractional Brownian motions. We also slightly improve existing results and discuss some possible applications to mathematical finance.作者: 勾引 時間: 2025-3-29 02:54
On Singularities in the Heston Model,In this note we provide characterization of the singularities of the Heston characteristic function. In particular, we show that all the singularities are pure imaginary.作者: 障礙 時間: 2025-3-29 06:04
Small-Time Asymptotics for the At-the-Money Implied Volatility in a Multi-dimensional Local Volatil, [.]) derived highly accurate analytic formulas for prices and implied volatilities of such options when the options are not at the money. We now extend these results to the ATM case. Moreover, we also derive similar formulas for the local volatility of the basket.作者: Stress-Fracture 時間: 2025-3-29 08:14
,Extrapolation Analytics for Dupire’s Local Volatility,ses our approximation formula from a practical and numerical perspective, the present paper focuses on rigorous proofs of the approximations. We apply the saddle point method (Heston model) and Hankel contour integration (variance gamma model).作者: acrophobia 時間: 2025-3-29 12:24 作者: integral 時間: 2025-3-29 18:44 作者: 流逝 時間: 2025-3-29 21:21 作者: 敏捷 時間: 2025-3-30 01:44 作者: 逢迎春日 時間: 2025-3-30 07:53 作者: 起波瀾 時間: 2025-3-30 11:58 作者: 過去分詞 時間: 2025-3-30 12:26
,Asymptotics for ,-Dimensional Lévy-Type Processes, in this paper extend the results from Corielli et al. (SIAM J Financ Math 1:833–867, 2010, [.]), Pagliarani and Pascucci (Int. J. Theor. Appl. Financ. 16(8):1–35, 2013, [.]) to Lorig et al. (Analytical expansions for parabolic equations, 2013, [.]) for Markov diffusions to Markov processes with jumps.作者: puzzle 時間: 2025-3-30 19:59 作者: 災(zāi)難 時間: 2025-3-30 22:37
Probability Distribution in the SABR Model of Stochastic Volatility,ndary conditions at zero forward on the volatility smile. Our analysis is based on a WKB type expansion for the heat kernel of a perturbed Laplace-Beltrami operator on a suitable hyperbolic Riemannian manifold.作者: 同時發(fā)生 時間: 2025-3-31 04:22 作者: minion 時間: 2025-3-31 06:05 作者: clarify 時間: 2025-3-31 11:37
,The G?rtner-Ellis Theorem, Homogenization, and Affine Processes,enerating function in the case of a generic continuous affine process. We also compute the coefficients in the homogenization expansion for the Heston model that is one of the most popular stock price models with stochastic volatility.作者: 希望 時間: 2025-3-31 15:09 作者: 說笑 時間: 2025-3-31 18:33
Second Order Expansion for Implied Volatility in Two Factor Local Stochastic Volatility Models and thematics and Statistics, vol. 110, 2015, [.]) and by Henry-Labordère (Springer Proceedings in Mathematics and Statistics, vol. 110, 2015, Geometry, and Modeling in Finance. Chapman & Hall/CRC Financial Mathematics Series, 2008, [., .]).作者: 老巫婆 時間: 2025-3-31 23:59
On the Probability Density Function of Baskets, date. Explicit computations relate this to a phase transition from a unique to more than one “most-likely” paths (along which the diffusion, if suitably conditioned, concentrates in the afore-mentioned regimes). This also provides a (quantifiable) understanding of how precisely a presently out-of-money basket option may still end up in-the-money.作者: Systemic 時間: 2025-4-1 05:55 作者: 無彈性 時間: 2025-4-1 06:17
Conference proceedings 2015f 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..作者: 大氣層 時間: 2025-4-1 12:39 作者: Adjourn 時間: 2025-4-1 17:55
Louis Paulothem zum zentralen Wirkungsbereich Stoffregens; Ausdruck der Konstruktion", dem Bemiihen, sie verdankt ihm eine Fiille stadtebaulicher die Bauten in die Umgebung und die lokale Monumente, die mit ihrem fiir das 20. Jahrhun- Kultur zu integrieren. So schrieb er 1910 im dert vorwartsweisenden und weitausgreifen-978-3-528-08746-3978-3-322-91111-7作者: lethal 時間: 2025-4-1 20:07 作者: 邪惡的你 時間: 2025-4-2 02:25
Gérard Ben Arous,Peter Laurenceditions in philosophy and biological sciences. The European period (prior to 1933) in Werner’s academic life is found to be definitive for Werner’s contributions to science. The ideas developed in his early career continued in the form of a productive empirical research program in the 1950s at Clark作者: 流浪者 時間: 2025-4-2 05:20
Yasufumi Osajimaditions in philosophy and biological sciences. The European period (prior to 1933) in Werner’s academic life is found to be definitive for Werner’s contributions to science. The ideas developed in his early career continued in the form of a productive empirical research program in the 1950s at Clark
