Large deviations and asymptotic methods in finance

DOI10.1007/978-3-319-11605-1zbMATH Open1322.60003OpenAlexW1122034225MaRDI QIDQ744007FDOQ744007

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Publication date: 2 October 2014

Published in: Springer Proceedings in Mathematics \& Statistics (Search for Journal in Brave)

Full work available at URL: https://vestifm.belnauka.by/jour/article/view/316

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Mathematics Subject Classification ID

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)

Cited In (33)

• Pathwise large deviations for the rough Bergomi model
• Asymptotic expansion for a Black-Scholes model with small noise stochastic jump-diffusion interest rate
• Asymptotic expansion for some local volatility models arising in finance
• Asymptotic expansion as prior knowledge in deep learning method for high dimensional BSDEs
• Sample-path large deviations in credit risk
• Second Order Expansion for Implied Volatility in Two Factor Local Stochastic Volatility Models and Applications to the Dynamic $$\lambda $$-Sabr Model
• EXPANSION FORMULAS FOR EUROPEAN QUANTO OPTIONS IN A LOCAL VOLATILITY FX-LIBOR MODEL
• Operator splitting around Euler–Maruyama scheme and high order discretization of heat kernels
• Asymptotic arbitrage and large deviations
• Asymptotic Expansion Approach in Finance
• A novel term-structure-based Heston model for implied volatility surface
• Exponentiation of conditional expectations under stochastic volatility
• Unbiasing and robustifying implied volatility calibration in a cryptocurrency market with large bid-ask spreads and missing quotes
• A Yosida's parametrix approach to Varadhan's estimates for a degenerate diffusion under the weak Hörmander condition
• Scalable methods for computing sharp extreme event probabilities in infinite-dimensional stochastic systems
• Local volatility under rough volatility
• The log‐moment formula for implied volatility
• Estimation of Leverage Effect: Kernel Function and Efficiency
• Reconstructing volatility: Pricing of index options under rough volatility
• Analytical Approximation of Variable Annuities for Small Volatility and Small Withdrawal
• Intrinsic Taylor formula for Kolmogorov-type homogeneous groups
• Time-inhomogeneous Gaussian stochastic volatility models: large deviations and super roughness
• Weak approximation of SDEs for tempered distributions and applications
• EFFECTIVE ASYMPTOTICS ANALYSIS FOR FINANCE
• Asymptotic results for the Fourier estimator of the integrated quarticity
• Deep Weak Approximation of SDEs: A Spatial Approximation Scheme for Solving Kolmogorov Equations
• Solving Kolmogorov PDEs without the curse of dimensionality via deep learning and asymptotic expansion with Malliavin calculus
• The instanton method and its numerical implementation in fluid mechanics
• A new algorithm for computing path integrals and weak approximation of SDEs inspired by large deviations and Malliavin calculus
• Precise asymptotics: robust stochastic volatility models
• Asymptotic expansions of solutions of stochastic differential equations driven by multivariate fractional Brownian motions having Hurst indices greater than 1/3
• A partial rough path space for rough volatility
• Large and moderate deviations for stochastic Volterra systems

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