Large deviations and asymptotic methods in finance
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Derivative securities (option pricing, hedging, etc.) (91G20) Large deviations (60F10) Collections of articles of miscellaneous specific interest (00B15) Proceedings, conferences, collections, etc. pertaining to probability theory (60-06) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80)
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(33)- A novel term-structure-based Heston model for implied volatility surface
- Scalable methods for computing sharp extreme event probabilities in infinite-dimensional stochastic systems
- Reconstructing volatility: Pricing of index options under rough volatility
- Precise asymptotics: robust stochastic volatility models
- Asymptotic expansion as prior knowledge in deep learning method for high dimensional BSDEs
- Asymptotic expansions of solutions of stochastic differential equations driven by multivariate fractional Brownian motions having Hurst indices greater than 1/3
- Effective asymptotics analysis for finance
- Asymptotic expansion approach in finance
- Sample-path large deviations in credit risk
- The instanton method and its numerical implementation in fluid mechanics
- Expansion formulas for European quanto options in a local volatility FX-LIBOR model
- Exponentiation of conditional expectations under stochastic volatility
- Operator splitting around Euler-Maruyama scheme and high order discretization of heat kernels
- Asymptotic arbitrage and large deviations
- Asymptotic expansion for some local volatility models arising in finance
- A Yosida's parametrix approach to Varadhan's estimates for a degenerate diffusion under the weak Hörmander condition
- Intrinsic Taylor formula for Kolmogorov-type homogeneous groups
- Unbiasing and robustifying implied volatility calibration in a cryptocurrency market with large bid-ask spreads and missing quotes
- A new algorithm for computing path integrals and weak approximation of SDEs inspired by large deviations and Malliavin calculus
- Pathwise large deviations for the rough Bergomi model
- Asymptotic expansion for a Black-Scholes model with small noise stochastic jump-diffusion interest rate
- Deep Weak Approximation of SDEs: A Spatial Approximation Scheme for Solving Kolmogorov Equations
- Asymptotic results for the Fourier estimator of the integrated quarticity
- A partial rough path space for rough volatility
- Solving Kolmogorov PDEs without the curse of dimensionality via deep learning and asymptotic expansion with Malliavin calculus
- Large and moderate deviations for stochastic Volterra systems
- Analytical approximation of variable annuities for small volatility and small withdrawal
- Local volatility under rough volatility
- The log‐moment formula for implied volatility
- Estimation of Leverage Effect: Kernel Function and Efficiency
- Weak approximation of SDEs for tempered distributions and applications
- Second order expansion for implied volatility in two factor local stochastic volatility models and applications to the dynamic \(\lambda\)-SABR model
- Time-inhomogeneous Gaussian stochastic volatility models: large deviations and super roughness
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