| Analysis, Geometry, and Modeling in Finance: Advanced Methods in Option Pricing Contributor(s): Henry-Labordère, Pierre (Author) |
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ISBN: 1420086995 ISBN-13: 9781420086997 Publisher: CRC Press OUR PRICE: $218.50 Product Type: Hardcover - Other Formats Published: September 2008 Annotation: 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, Schrodinger, 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. |
| Additional Information |
| BISAC Categories: - Mathematics | Probability & Statistics - General - Business & Economics | Investments & Securities - Futures - Business & Economics | Finance - General |
| Dewey: 332.645 |
| LCCN: 2008025447 |
| Physical Information: 1.1" H x 6.2" W x 9.3" (1.55 lbs) 402 pages |
| Descriptions, Reviews, Etc. |
| Publisher Description: First Book to Present Powerful New Analytical and Geometrical Tools for Finance This is the first book that applies advanced analytical and geometrical methods used in recent mathematics and physics to the financial field. The author obtains new results updating those where only approximate and partial solutions were previously available. Focusing on the problem of option pricing, he presents powerful methods and tools, such as differential geometry, spectral decomposition, and supersymmetry, that can be applied to concrete problems in mathematical finance. Throughout the text, the author supplies both theoretical and numerical results, using "Mathematica"(R) and C++ for the numerical implementations. Background material is provided to make the book self-contained. |