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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| Language: | English |
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London :
Springer London : Imprint: Springer,
2014.
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| Edition: | 1st ed. 2014. |
| Series: | Springer Finance Lecture Notes,
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| Online Access: | https://doi.org/10.1007/978-1-4471-6506-4 |
Table of Contents:
- Introduction
- Volatility dynamics for a single underlying: foundations
- Volatility dynamics for a single underlying: advanced methods
- Practical applications and testing
- Volatility dynamics in a term structure
- Implied Dynamics in the SV-HJM framework
- Implied Dynamics in the SV-LMM framework
- Conclusion.