Book 2014

Asymptotic Chaos Expansions in Finance

Theory and Practice

Authors:

ISBN: 978-1-4471-6505-7 (Print) 978-1-4471-6506-4 (Online)

Table of contents (8 chapters)

  1. Front Matter

    Pages i-xxii

  2. No Access

    Chapter

    Pages 1-20

    Introduction

  3. Single Underlying

    1. Front Matter

      Pages 21-21

    2. No Access

      Chapter

      Pages 23-116

      Volatility Dynamics for a Single Underlying: Foundations

    3. No Access

      Chapter

      Pages 117-210

      Volatility Dynamics for a Single Underlying: Advanced Methods

    4. No Access

      Chapter

      Pages 211-270

      Practical Applications and Testing

  4. Term Structures

    1. Front Matter

      Pages 271-271

    2. No Access

      Chapter

      Pages 273-322

      Volatility Dynamics in a Term Structure

    3. No Access

      Chapter

      Pages 323-366

      Implied Dynamics in the SV-HJM Framework

    4. No Access

      Chapter

      Pages 367-419

      Implied Dynamics in the SV-LMM Framework

    5. No Access

      Chapter

      Pages 421-428

      Conclusion

  5. Back Matter

    Pages 429-491