This book provides an introduction the propagator theory. Propagators are two-parameter families of linear operators, also known as evolution operators, evolutions families, non-autonomous sernigroups, etc., which are often used as mathematical models of a system evolving in a changing environment. Although this book concerns such diverse subjects as analysis, semigroup theory, probability theory, mathematical physics, and partial differential equations, it is unified by the Feynman-Kac propagator which describes the evolution of a physical system in the presence of time-dependent absorption...
This book provides an introduction the propagator theory. Propagators are two-parameter families of linear operators, also known as evolution operator...
This book offers sharp asymptotic formulas with error estimates for distribution densities of stock prices, option pricing functions and implied volatilities in stochastic volatility models. For readers familiar with stochastic analysis and probability theory.
This book offers sharp asymptotic formulas with error estimates for distribution densities of stock prices, option pricing functions and implied volat...
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.
Over the past decade, asymptotic methods have played an...
Topics covered in this volume (large deviations, differential geometry, asymptotic expansions, central limit theorems) give a full picture of the c...
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.
Over the past decade, asymptotic methods have played an...
Topics covered in this volume (large deviations, differential geometry, asymptotic expansions, central limit theorems) give a full picture of the c...
