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Analysis, Geometry, and Modeling in Finance

Pierre Henry-Labordère
€235.60
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A01=Pierre Henry-Labordere
advanced probability theory
asset price dynamics
Author_Pierre Henry-Labordere
Backward Kolmogorov Equation
Black Scholes PDE
Black-Scholes
call
Category=KCH
Category=KF
Category=PBT
Category=PBW
CEV
CEV Model
CEV Process
differential geometry
EPT
eq_bestseller
eq_business-finance-law
eq_isMigrated=1
eq_isMigrated=2
eq_nobargain
eq_non-fiction
european
European Call Option
Feynman Kac Theorem
financial mathematics
financial modeling techniques
forward
Forward Measure PT
Geodesic Distance
heat
Heat Kernel Coefficient
hedging
Heston Model
implied
implied volatility
kernel
Kolmogorov Equation
Lie Algebra
local
Local Martingale
Local Volatility
local volatility model
LV Model
LVMs
Malliavin calculus
mathematical physics applications
option
option pricing
option pricing with geometric analysis
Pierre Henry-Labordere
quantitative finance
Risk Neutral Measure
SABR
SABR Model
spectral decomposition
stochastic
stochastic calculus
stochastic Libor market model
Stochastic Volatility
stochastic volatility model
supersymmetry
Swap Rate
volatility
Volatility Model

Product details

  • ISBN 9781420086997
  • Weight: 910g
  • Dimensions: 156 x 234mm
  • Publication Date: 22 Sep 2008
  • Publisher: Taylor & Francis Ltd
  • Publication City/Country: GB
  • Product Form: Hardback
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Description

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.
About Pierre Henry-Labordere
Societe Generale, Paris, France

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