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Analysis, Geometry, and Modeling in Finance: Advanced Methods in Option Pricing (Chapman and Hall/CRC Financial Mathematics Series) - Hardcover

Book 11 of 71: Chapman and Hall/CRC Financial Mathematics

Henry-Labordère, Pierre

 
9781420086997: Analysis, Geometry, and Modeling in Finance: Advanced Methods in Option Pricing (Chapman and Hall/CRC Financial Mathematics Series)
Hardcover
ISBN 10: 1420086995 ISBN 13: 9781420086997
Publisher: Chapman and Hall/CRC, 2008

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, 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.

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

About the Author

Pierre Henry-Labordere

From the Back Cover

This book offers new ways of solving financial problems using techniques found in physics and mathematics. Through the problem of option pricing, it demonstrates how differential geometry, spectral decomposition, and supersymmetry can be used as new tools in finance. The author covers practical issues from the industry, such as the calibration of stochastic volatility models and stochastic Libor market models. He uses Mathematica® and C++ for numerical implementations and provides end-of-chapter problems, including some based on recently published research papers.

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

Publisher
Chapman and Hall/CRC
Publication date
2008
Language
English
ISBN 10 
1420086995
ISBN 13 
9781420086997
Binding
Hardcover
Edition number
1
Number of pages
402