LIBROS DEL AUTOR: david nicolay

2 resultados para LIBROS DEL AUTOR: david nicolay

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  • Asymptotic Chaos Expansions in Finance
    David Nicolay
    ...
    Disponible

    69,39 €

  • Asymptotic Chaos Expansions in Finance
    David Nicolay
    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 risk management. In practice however, most SV models lack a closed form valuatio...
    Disponible

    46,78 €