Frequently Asked Questions In Quantitative Finance

(Kiana) #1
Chapter 2: FAQs 219

Rasmussen, H & Wilmott, P 2002 Asymptotic analysis of
stochastic volatility models. InNew Directions in Mathe-
matical Finance, Ed. Wilmott, P & Rasmussen, H, John Wiley
& Sons


Whalley, AE & Wilmott, P 1997 An asymptotic analysis of an
optimal hedging model for option pricing with transaction
costs.Mathematical Finance 7 307–324

Free download pdf