Titlebook: Large Deviations and Asymptotic Methods in Finance; Peter K. Friz,Jim Gatheral,Josef Teichmann Conference proceedings 2015 Springer Intern

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,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.

puzzle

災(zāi)難

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.

同時發(fā)生

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,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.

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說笑

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, [., .]).

老巫婆

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.