Titlebook: Asymptotic Chaos Expansions in Finance; Theory and Practice David Nicolay Book 2014 Springer-Verlag London 2014 ACE.Asymptotic Chaos Expans

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1616-0533 astic implied volatility model class.Provides a programmable.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 vani

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Vasiliki Efstathiou,Anthony Hunter their own list of maturities, which we will naturally extend to a common maturity continuum. We end up naturally with a term structure (TS) framework, and in solving the direct and indirect problems we will point to the structural difference simpler single-underlying environment of Part I.

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Volatility Dynamics in a Term Structure their own list of maturities, which we will naturally extend to a common maturity continuum. We end up naturally with a term structure (TS) framework, and in solving the direct and indirect problems we will point to the structural difference simpler single-underlying environment of Part I.

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Implied Dynamics in the SV-HJM Framework options, caplets, swaptions) into the generic framework, by allocating several TS (the underlying, the numeraire, the measure and the payoff). The second step is more computational and consists in computing the chaos dynamics for the underlying TS defined above, within the chosen SV-HJM parametrisation.