Asymptotic methods in finance




[1] R. Bompis et E. Gobet : « Asymptotic and non asymptotic approximations for option valuation »,  2012,  In Recent Developments in Computational Finance:Foundations, Algorithms and Applications, Thomas Gerstner and Peter Kloeden (Ed.), World Scientific Publishing Company.
[2] J.P. Fouque, G. Papanicolaou, R. Sircar et K. Solna : Multiscale stochastic volatility for equity, interest rate, and credit derivatives, 2011, 2nd edition, Cambridge university press. 
[3] P. Friz, J. Gatheral, A. Jacquier et  J. Teichmann (editors) : Large deviations and asymptotic methods in finance, 2015,  Springer Proceedings in Mathematics and Statistics. 
[4] J. Muhle-Karbe, M. Reppen et M. Soner: « A primer on portfolio choice with small transaction costs », 2016, preprint.