Home » Business & Finance » Peter K. Friz » Large Deviations and Asymptotic Methods in Finance

November 14 , 2009

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 rigorous solutions to important mathematical and financial issues, such as implied volatility asymptotics, local volatility extrapolation, systemic risk and volatility estimation. This volume gathers together ground-breaking results in this field by some of its leading experts.

Download mobi

Read also

M. Ré-dièze et Mlle Mi-bémol

Le malheur touche le bourg suisse de Kalfermatt : l'organiste Eglisak, est devenu sourd. Quelques mois plus tard, Maître Effarane et son compagnon arrivent au village et effectuent quelques réparations sur l'orgue de l'église. Il détermine la «note physiologique» des 16 enfants de la chorale, parmi lesquels Joseph Müller et Betty Clère deviennent…

Over the past decade, asymptotic methods have played an increasingly important role in the study of the behaviour of (financial) models. These methods provide a useful alternative to numerical methods in settings where the latter may lose accuracy (in extremes such as small and large strikes, and small maturities), and lead to a clearer understanding of the behaviour of models, and of the influence of parameters on this behaviour.

Graduate students, researchers and practitioners will find this book very useful, and the diversity of topics will appeal to people from mathematical finance, probability theory and differential geometry.

How to download book

Buy this book

You can buy this book now only for $96.69. This is the lowest price for this book.

Buy book

Download book free

If you want to download this book for free, please register, approve your account and get one book for free.


After that you may download book «Large Deviations and Asymptotic Methods in Finance»:

Download XML Book:


Download PDF:


Download ePUB 2: