EAN: 9783319116044

LARGE DEVIATIONS AND ASYMPTOTIC METHODS IN FINA...

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.

Aktuelle Preise zur EAN 9783319116044

Produktinformationen zur 9783319116044