Title: Analysis, Geometry and Modeling in Finance : Advanced Methods in Options Pricing
Publisher: Chapman and Hall/CRC
Publication Date: 2008
Language: English
ISBN 10: 1420086995
ISBN 13: 9781420086997
Binding: Hardcover
Condition: As New

About this title

Synopsis

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, Schr�dinger, 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.

About the Author

Pierre Henry-Labordere

"About this title" may belong to another edition of this title.

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