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Asymptotic chaos expansions in finance: theory and practice
Stochastic instantaneous volatility models such as Heston, SABR or SV-LMM have mostly been developed to control the shape and joint dynamics of the implied volatility surface. In principle, they are well suited for pricing and hedging vanilla and exotic options, for relative value strategies or for...
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| Lenguaje: | eng |
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Springer
2014
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| Acceso en línea: | https://dx.doi.org/10.1007/978-1-4471-6506-4 http://cds.cern.ch/record/1973492 |