Analysis, Geometry, and Modeling in Finance: Advanced Methods in Option Pricing - Rilegato

Libro 11 di 71: Chapman and Hall/CRC Financial Mathematics

Henry-Labordere, Pierre

 
9781420086997: Analysis, Geometry, and Modeling in Finance: Advanced Methods in Option Pricing
Rilegato
ISBN 10: 1420086995 ISBN 13: 9781420086997
Casa editrice: Chapman and Hall/CRC, 2008

Sinossi

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.

Le informazioni nella sezione "Riassunto" possono far riferimento a edizioni diverse di questo titolo.

Informazioni sull?autore

Pierre Henry-Labordere

Le informazioni nella sezione "Su questo libro" possono far riferimento a edizioni diverse di questo titolo.

Editore
Chapman and Hall/CRC
Data di pubblicazione
2008
Lingua
Inglese
ISBN 10 
1420086995
ISBN 13 
9781420086997
Rilegatura
Copertina rigida
Numero edizione
1
Numero di pagine
402
Contatto del produttore
non disponibile
Persona responsabile
non disponibile