Analysis, Geometry, and Modeling in Finance

Advanced Methods in Option Pricing

By:

Pierre Henry-Laborde're

Format:

Hardback

Series:

Chapman and Hall/CRC Financial Mathematics Series

Show Hide Adult Content

$535.99

Available from supplier

Usually ships in 3-4 weeks

0 in Trolley

Price Match

Wrap this item as a gift ($5.90) - add a free gift card on the next page

Buy Now, Pay Later with:

4 payments of $134.00 with Afterpay Learn more

Availability

Delivering to:

Estimated arrival:

Around 11-21 June using International Courier

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.

Author Biography:

Societe Generale, Paris, France

Release date Australia

September 22nd, 2008

Author

Pierre Henry-Laborde're

Audience

Professional & Vocational

Illustrations

17 Tables, black and white; 30 Illustrations, black and white

Pages

402

Series

Chapman and Hall/CRC Financial Mathematics Series

Dimensions

156x235x28

ISBN-13

9781420086997

Product ID

2633787

Customer reviews

Nobody has reviewed this product yet. You could be the first!

Write a Review

Marketplace listings

There are no Marketplace listings available for this product currently.
Already own it? Create a free listing and pay just 9% commission when it sells!

Sell Yours Here

Get free delivery, exclusive deals, and more^*

Business & Economics Books:

Analysis, Geometry, and Modeling in Finance

By:

Format:

Series:

Buy Now, Pay Later with:

Availability

Description

Author Biography:

Customer reviews

Marketplace listings

Help & options

Filed under...

Get free delivery, exclusive deals, and more*

Buy Now, Pay Later with:

Author Biography:

Get free delivery, exclusive deals, and more^*