Large Deviations and Asymptotic Methods in Finance
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 rigoro
- PDF / 7,137,406 Bytes
- 590 Pages / 453.543 x 683.15 pts Page_size
- 50 Downloads / 254 Views
Peter K. Friz Jim Gatheral Archil Gulisashvili Antoine Jacquier Josef Teichmann Editors
Large Deviations and Asymptotic Methods in Finance
Springer Proceedings in Mathematics & Statistics Volume 110
Springer Proceedings in Mathematics & Statistics This book series features volumes composed of selected contributions from workshops and conferences in all areas of current research in mathematics and statistics, including operation research and optimization. In addition to an overall evaluation of the interest, scientific quality, and timeliness of each proposal at the hands of the publisher, individual contributions are all refereed to the high quality standards of leading journals in the field. Thus, this series provides the research community with well-edited, authoritative reports on developments in the most exciting areas of mathematical and statistical research today.
More information about this series at http://www.springer.com/series/10533
Peter K. Friz Jim Gatheral Archil Gulisashvili Antoine Jacquier Josef Teichmann •
•
Editors
Large Deviations and Asymptotic Methods in Finance
123
Editors Peter K. Friz Institut für Mathematik Technische Universität Berlin Berlin Germany and Weierstraß-Institut für Angewandte Analysis und Stochastik Berlin Germany Jim Gatheral Department of Mathematics City University of New York Baruch College New York, NY USA
Archil Gulisashvili Department of Mathematics Ohio University Athens, OH USA Antoine Jacquier Department of Mathematics Imperial College London London UK Josef Teichmann Department of Mathematics ETH Zürich Zürich Switzerland
ISSN 2194-1009 ISSN 2194-1017 (electronic) Springer Proceedings in Mathematics & Statistics ISBN 978-3-319-11604-4 ISBN 978-3-319-11605-1 (eBook) DOI 10.1007/978-3-319-11605-1 Library of Congress Control Number: 2015935733 Mathematics Subject Classification (2010): 91G80, 60H30, 60F10, 91G20 Springer Cham Heidelberg New York Dordrecht London © Springer International Publishing Switzerland 2015 This work is subject to copyright. All rights are reserved by the Publisher, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on microfilms or in any other physical way, and transmission or information storage and retrieval, electronic adaptation, computer software, or by similar or dissimilar methodology now known or hereafter developed. The use of general descriptive names, registered names, trademarks, service marks, etc. in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use. The publisher, the authors and the editors are safe to assume that the advice and information in this book are believed to be true and accurate at the date of publication. Neither the publisher nor the authors or the editors give a warranty, express or implied, with respect to the material contained herein or for any
Data Loading...
