By Peter K. Friz
Topics covered in this volume (large deviations, differential geometry, asymptotic expansions, imperative restrict theorems) provide an entire photograph of the current advances within the program of asymptotic tools in mathematical finance, and thereby supply rigorous ideas to big mathematical and fiscal concerns, reminiscent of implied volatility asymptotics, neighborhood volatility extrapolation, systemic danger and volatility estimation. This quantity gathers jointly ground-breaking leads to this box through a few of its best experts.
Over the earlier decade, asymptotic equipment have performed an more and more very important position within the examine of the behaviour of (financial) versions. those tools supply an invaluable replacement to numerical tools in settings the place the latter may perhaps lose accuracy (in extremes corresponding to small and massive moves, and small maturities), and bring about a clearer realizing of the behaviour of types, and of the impact of parameters in this behaviour.
Graduate scholars, researchers and practitioners will locate this publication very worthwhile, and the range of issues will entice humans from mathematical finance, chance thought and differential geometry.
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