Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration

Keyphrases

• Volatility 100%
• Multifractal Volatility 100%
• Cross-layer Analysis 100%
• Slowly Varying 50%
• Pricing Optimization 50%
• Implied Volatility 50%
• Portfolio Optimization 50%
• Mean-reverting 50%
• Convexity 50%
• Probabilistic Approach 50%
• S&P 500 50%
• Implied Volatility Surface 50%
• First-order Approximation 50%
• Singular Perturbation 50%
• Multiscale Stochastic Volatility Model 50%
• Interest Rate Derivatives 50%
• Credit Derivatives 50%
• Principal Effect 50%
• Data Market 50%
• Moneyness 50%
• Option Data 50%
• Second-order Asymptotics 50%
• Derivative Pricing 50%
• Perturbation Term 50%
• Implied Volatility Curve 50%
• Option Expiration 50%
• European Option Pricing 50%
• Expiration Time 50%
• Volatility Approximation 50%

Mathematics

• Asymptotics 100%
• Stochastics 100%
• Stochastic Volatility 100%
• Implied Volatility 100%
• Option Price 50%
• Stochastic Volatility Model 50%
• Singular Perturbations 50%
• Analysis Model 50%
• Approximation Order 50%
• Implied Volatility Curve 50%

Economics, Econometrics and Finance

• Volatility 100%
• Portfolio Selection 12%
• Option Trading 12%
• Interest Rate Derivative 12%
• Credit Derivative 12%
• Derivative Pricing 12%