Metadaten| Author: | Jean-Dominique Deuschel, Peter Friz, Antoine Jacquier, Sean Violante |
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| URN: | urn:nbn:de:0296-matheon-11534 |
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| Referee: | Peter Karl Friz |
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| Document Type: | Preprint, Research Center Matheon |
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| Language: | English |
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| Date of first Publication: | 2012/07/17 |
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| Release Date: | 2012/07/17 |
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| Tag: | Laplace method on Wiener space; generalized density expansions in small noise and small time; large strike and small time asymptotics for implied volatility; stochastic volatility; sub-Riemannian geometry with drift |
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| Institute: | Technische Universität Berlin |
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| MSC-Classification: | 53-XX DIFFERENTIAL GEOMETRY (For differential topology, see 57Rxx. For foundational questions of differentiable manifolds, see 58Axx) / 53Bxx Local differential geometry / 53B21 Methods of Riemannian geometry |
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| 60-XX PROBABILITY THEORY AND STOCHASTIC PROCESSES (For additional applications, see 11Kxx, 62-XX, 90-XX, 91-XX, 92-XX, 93-XX, 94-XX) / 60Hxx Stochastic analysis [See also 58J65] / 60H07 Stochastic calculus of variations and the Malliavin calculus |
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| 60-XX PROBABILITY THEORY AND STOCHASTIC PROCESSES (For additional applications, see 11Kxx, 62-XX, 90-XX, 91-XX, 92-XX, 93-XX, 94-XX) / 60Hxx Stochastic analysis [See also 58J65] / 60H10 Stochastic ordinary differential equations [See also 34F05] |
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| 60-XX PROBABILITY THEORY AND STOCHASTIC PROCESSES (For additional applications, see 11Kxx, 62-XX, 90-XX, 91-XX, 92-XX, 93-XX, 94-XX) / 60Hxx Stochastic analysis [See also 58J65] / 60H30 Applications of stochastic analysis (to PDE, etc.) |
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| 60-XX PROBABILITY THEORY AND STOCHASTIC PROCESSES (For additional applications, see 11Kxx, 62-XX, 90-XX, 91-XX, 92-XX, 93-XX, 94-XX) / 60Hxx Stochastic analysis [See also 58J65] / 60H35 Computational methods for stochastic equations [See also 65C30] |
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| Preprint Number: | 971 |
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