Pierre Henry-Labordere

Analysis, Geometry, and Modeling in Finance (eBook, PDF)

Advanced Methods in Option Pricing

• Format: PDF

Produktbeschreibung

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, th

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Produktdetails

• Verlag: Taylor & Francis eBooks
• Seitenzahl: 391
• Erscheinungstermin: 22. September 2008
• Englisch
• ISBN-13: 9781420087000
• Artikelnr.: 57533953

Autorenporträt

Pierre Henry-Labordere

Inhaltsangabe

Introduction. A Brief Course in Financial Mathematics. Smile Dynamics and
Pricing of Exotic Options. Differential Geometry and Heat Kernel Expansion.
Local Volatility Models and Geometry of Real Curves. Stochastic Volatility
Models and Geometry of Complex Curves. Multi-Asset European Option and Flat
Geometry. Stochastic Volatility Libor Market Models and Hyperbolic
Geometry. Solvable Local and Stochastic Volatility Models. Schrödinger
Semigroups Estimates and Implied Volatility Wings. Analysis on Wiener Space
with Applications. Portfolio Optimization and Bellman-Hamilton-Jacobi
Equation. Appendices. References. Index.