Analysis, Geometry and Modeling in Finance

Un libro in lingua di Henry Pierre labordre edito da Chapman & Hall, 2008

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After reviewing the main ideas in mathematical finance, this graduate textbook examine the calibration and the dynamics of the implied volatility, which is the value of the volatility that, when put in the Black-Scholes formula, reproduces the market price for a European call option. Dr. Henry-Labordère (Société Génerale) then presents the heat kernel expansion on a Riemannian manifold, derives an asymptotic implied volatility in the context of local volatility models, and applies mathematical tools to the practical problems of pricing multi-asset options, interest rate models, and portfolio optimization. Annotation ©2009 Book News, Inc., Portland, OR (booknews.com)

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