Asymptotic Chaos Expansions in Finance by David Nicolay

Author:David Nicolay
Language: eng
Format: epub
Publisher: Springer London, London

3.The basket provides a good illustration of the added complexity brought by the multi-dimensionality, as described previously. Furthermore, this is achieved without any maturity dependency, and we shall see later that in practice it is the former factor that drives the complexity of the computations (but not of the conceptual framework).

4.Lastly, the generic results obtained in this section will prove very useful to accelerate several computations in the coming part of the study dedicated to maturity-dependent frameworks. Indeed, many term structure instruments, such as swap rates for instance, can be either written or approximated as baskets (i.e. with either stochastic or fixed weights).

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