Large Deviations and Asymptotic Methods in Finance (Hardcover, 2015 ed.)

Topics covered in this volume (large deviations, differential geometry, asymptotic expansions, central limit theorems) give a full picture of the current advances in the application of asymptotic methods in mathematical finance, and thereby provide rigorous solutions to important mathematical and financial issues, such as implied volatility asymptotics, local volatility extrapolation, systemic risk and volatility estimation. This volume gathers together ground-breaking results in this field by some of its leading experts. Over the past decade, asymptotic methods have played an increasingly important role in the study of the behaviour of (financial) models. These methods provide a useful alternative to numerical methods in settings where the latter may lose accuracy (in extremes such as small and large strikes, and small maturities), and lead to a clearer understanding of the behaviour of 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.

General

Imprint:	Springer International Publishing AG
Country of origin:	Switzerland
Series:	Springer Proceedings in Mathematics & Statistics, 110
Release date:	June 2015
First published:	2015
Editors:	Peter K. Friz • Jim Gatheral • Archil Gulisashvili • Antoine Jacquier • Josef Teichmann
Dimensions:	235 x 155 x 36mm (L x W x T)
Format:	Hardcover
Pages:	590
Edition:	2015 ed.
ISBN-13:	978-3-319-11604-4
Categories:	Books > Business & Economics > Finance & accounting > General Books > Science & Mathematics > Mathematics > Probability & statistics Books > Science & Mathematics > Mathematics > Calculus & mathematical analysis > Differential equations Books > Science & Mathematics > Mathematics > Geometry > Differential & Riemannian geometry
LSN:	3-319-11604-5
Barcode:	9783319116044

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