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.
| ISBN: | 9781420086997 |
| Publication date: | 22nd September 2008 |
| Author: | Pierre HenryLabordère |
| Publisher: | Chapman & Hall/CRC an imprint of CRC Press |
| Format: | Hardback |
| Pagination: | 383 pages |
| Series: | Chapman & Hall/CRC Financial Mathematics Series |
| Genres: |
Finance and accounting Probability and statistics Applied mathematics Econometrics and economic statistics |
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.
Analysis, Geometry, and Modeling in Finance features in the following genres: Finance and accounting, Probability and statistics, Applied mathematics, Econometrics and economic statistics
Hardback. £189.00, down from the £210.00 cover price. Not Available.
Analysis, Geometry, and Modeling in Finance was written by Pierre HenryLabordère and published by Chapman & Hall/CRC an imprint of CRC Press
Analysis, Geometry, and Modeling in Finance has 383 pages
Yes it is part of Chapman & Hall/CRC Financial Mathematics Series series
£189.00, reduced from £210.00. Not Available.