By Pierre Henry-Labordère

ISBN-10: 1420086995

ISBN-13: 9781420086997

Analysis, Geometry, and Modeling in Finance: Advanced equipment in choice Pricing is the 1st ebook that applies complex analytical and geometrical tools utilized in physics and arithmetic to the monetary box. It even obtains new effects whilst basically approximate and partial recommendations have been formerly available.

Through the matter of alternative pricing, the writer introduces strong instruments and strategies, together with differential geometry, spectral decomposition, and supersymmetry, and applies those tips on how to functional difficulties in finance. He almost always specializes in the calibration and dynamics of implied volatility, that's ordinarily referred to as smile. The e-book covers the Black–Scholes, neighborhood volatility, and stochastic volatility types, in addition to the Kolmogorov, Schrödinger, and Bellman–Hamilton–Jacobi equations.

Providing either theoretical and numerical effects all through, this ebook deals new methods of fixing monetary difficulties utilizing recommendations present in physics and mathematics.

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

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