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Analysis, Geometry, and Modeling in Finance: Advanced Methods in Option Pricing
Hardcover
Series: Chapman and Hall/CRC Financial Mathematics
Investing & FinanceProbability & Statistics
ISBN13: 9781420086997
Publisher: CRC Press
Published: Sep 1 2008
Pages: 402
Weight: 1.55
Height: 1.10 Width: 6.20 Depth: 9.30
Language: English
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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