Large Deviations and Asymptotic Methods in Finance

  • Peter K. Friz
  • Jim Gatheral
  • Archil Gulisashvili
  • Antoine Jacquier
  • Josef Teichmann
Conference proceedings

Part of the Springer Proceedings in Mathematics & Statistics book series (PROMS, volume 110)

Table of contents

  1. Front Matter
    Pages i-ix
  2. Patrick Hagan, Andrew Lesniewski, Diana Woodward
    Pages 1-35
  3. Archil Gulisashvili, Peter Tankov
    Pages 175-212
  4. Peter Friz, Stefan Gerhold
    Pages 273-286
  5. Archil Gulisashvili, Josef Teichmann
    Pages 287-320
  6. Matthew Lorig, Stefano Pagliarani, Andrea Pascucci
    Pages 321-343
  7. Akihiko Takahashi
    Pages 345-411
  8. Vladimir Lucic
    Pages 439-448
  9. Christian Bayer, Peter K. Friz, Peter Laurence
    Pages 449-472
  10. Giovanni Conforti, Stefano De Marco, Jean-Dominique Deuschel
    Pages 473-505

About these proceedings


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 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.


91G80, 60H30, 60F10, 91G20 asymptotic methods implied volatility large deviations mathematical finance option pricing

Editors and affiliations

  • Peter K. Friz
    • 1
  • Jim Gatheral
    • 2
  • Archil Gulisashvili
    • 3
  • Antoine Jacquier
    • 4
  • Josef Teichmann
    • 5
  1. 1.Technische Universität BerlinInstitut für Mathematik, Weierstraß- Institut für Angewandte Analysis und StochastikBerlinGermany
  2. 2.Department of MathematicsCity University of New York Baruch CollegeNew YorkUSA
  3. 3.Department of MathematicsOhio UniversityAthensUSA
  4. 4.Department of MathematicsImperial College LondonLondonUnited Kingdom
  5. 5.Department of MathematicsETH ZürichZürichSwitzerland

Bibliographic information

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