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Analysis, Geometry, and Modeling in Finance|Pierre Henry-Labordère

Analysis, Geometry, and Modeling in Finance : Advanced Methods in Option Pricing

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Overview

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(R) and C++ for numerical implementations and provides end-of-chapter problems, including some based on recently published research papers.

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Details

  • ISBN-13: 9781420086997
  • ISBN-10: 1420086995
  • Publisher: CRC Press
  • Publish Date: September 2008
  • Dimensions: 9.3 x 6.2 x 1.1 inches
  • Shipping Weight: 1.55 pounds
  • Page Count: 402

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