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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https://doi.org/10.1007/978-3-031-56940-1xt we discuss alternative baselines to Black’s model, and how to transfer IATM information between them. We then introduce a major structural extension, by considering the multi-dimensional framework. We follow the evolution of the inverse and direct problems, and illustrate these results with the case of generic baskets.

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招待

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合乎习俗

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ESPY

Vasiliki Efstathiou,Anthony Hunters us to recycle some of the SV-HJM results of Chap. .. Likewise, in order to manage swaptions we use the basket results of Sect. .. This enables us, in particular, to compute the systematic error of the usual . approximation.

BRAND

Practical Applications and Testingn “intuitive” model re-parametrisation of the generic SABR class. In direct mode, we test the flexibility and quality of static smile approximations provided by ACE for the CEV-SABR model, compared to Hagan et al’s benchmark.

OMIT

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