Pierre Henry-Labordere (Societe Generale, Paris, France)

Analysis, Geometry, and Modeling in Finance

Advanced Methods in Option Pricing

• Gebundenes Buch

Produktbeschreibung

Applies advanced analytical and geometrical methods used in physics and mathematics to the financial field. This work introduces tools and methods, including differential geometry, spectral decomposition, and supersymmetry, and applies these methods to practical problems in finance. It focuses on the calibration and dynamics of implied volatility.

Produktdetails

• Chapman and Hall/CRC Financial Mathematics Series
• Verlag: Taylor & Francis Ltd
• Seitenzahl: 402
• Erscheinungstermin: 1. September 2008
• Englisch
• Abmessung: 246mm x 164mm x 30mm
• Gewicht: 730g
• ISBN-13: 9781420086997
• ISBN-10: 1420086995
• Artikelnr.: 25519993

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.