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Analysis, Geometry and Modeling in Finance: Advanced Methods in Options Pricing - Couverture rigide

Livre 11 sur 71: Chapman and Hall/CRC Financial Mathematics

Henry-labordre, Pierre

 
9781420086997: Analysis, Geometry and Modeling in Finance: Advanced Methods in Options Pricing
Couverture rigide
ISBN 10 : 1420086995 ISBN 13 : 9781420086997
Editeur : Chapman & Hall/CRC, 2008

Synopsis

Analysis, Geometry, and Modeling in Finance: Advanced Methods in Option Pricing is the first book that applies advanced analytical and geometrical methods used in physics and mathematics to the financial field. It even obtains new results when only approximate and partial solutions were previously available.

Through the problem of option pricing, the author introduces powerful tools and methods, including differential geometry, spectral decomposition, and supersymmetry, and applies these methods to practical problems in finance. He mainly focuses on the calibration and dynamics of implied volatility, which is commonly called smile. The book covers the Black–Scholes, local volatility, and stochastic volatility models, along with the Kolmogorov, Schrödinger, and Bellman–Hamilton–Jacobi equations.

Providing both theoretical and numerical results throughout, this book offers new ways of solving financial problems using techniques found in physics and mathematics.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

À propos de l'auteur

Pierre Henry-Labordere

À propos de la quatrième de couverture

This book offers new ways of solving financial problems using techniques found in physics and mathematics. Through the problem of option pricing, it demonstrates how differential geometry, spectral decomposition, and supersymmetry can be used as new tools in finance. The author covers practical issues from the industry, such as the calibration of stochastic volatility models and stochastic Libor market models. He uses Mathematica® and C++ for numerical implementations and provides end-of-chapter problems, including some based on recently published research papers.

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
Chapman & Hall/CRC
Date d'édition
2008
Langue
anglais
ISBN 10 
1420086995
ISBN 13 
9781420086997
Reliure
Relié
Nombre de pages
383
Coordonnées du fabricant
non disponible
Personne responsable
gpsr@libri.de
gpsr@libri.de

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