Analysis, geometry, and modeling in finance: advanced methods in option pricing
Auteur :
Henry-Labordere, Pierre
Éditeur :
Taylor & Francis Ltd
ISBN :
9781420086997
Date de publication :
22 sept. 2008
Dimensions :
23,4 x 15,6 cm
Poids :
680 g
Langue :
Anglais
Pays d'origine :
Grande Bretagne
Applies advanced analytical and geometrical methods used in physics and mathematics to the financial field. This work introduces tools and methods, including differential geometry, spectral decomposition, and supersymmetry, and applies these methods to practical problems in finance. It focuses on the calibration and dynamics of implied volatility.