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Analysis, Geometry, and Modeling in Finance
DOI link for Analysis, Geometry, and Modeling in Finance
Analysis, Geometry, and Modeling in Finance book
Advanced Methods in Option Pricing
Analysis, Geometry, and Modeling in Finance
DOI link for Analysis, Geometry, and Modeling in Finance
Analysis, Geometry, and Modeling in Finance book
Advanced Methods in Option Pricing
ByPierre Henry-Labordere
Edition 1st Edition
First Published 2008
eBook Published 19 September 2008
Pub. Location New York
Imprint Chapman and Hall/CRC
Pages 391
eBook ISBN 9780429147913
Subjects Economics, Finance, Business & Industry, Mathematics & Statistics
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Henry-Labordere, P. (2008). Analysis, Geometry, and Modeling in Finance: Advanced Methods in Option Pricing (1st ed.). Chapman and Hall/CRC. https://doi.org/10.1201/9781420087000
ABSTRACT
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, th
TABLE OF CONTENTS
chapter 1|6 pages
Introduction
chapter 2|48 pages
A Brief Course in Financial
chapter 3|20 pages
Chapter 3
chapter 4|48 pages
Chapter 4
chapter 5|14 pages
Chapter 5
chapter IV|12 pages
versus LV 60.00 50.00 00 30.00 20.00 10.00 Strike -30% 50% 70% 90% 110% 130% 150% 170% 190%
Market IV
chapter 6|23 pages
Chapter 6
chapter |2 pages
Lambda=-10%, lambdabar=0%, f0=5.37%, tau=5 y, nu=27.48%, rho=11.48%, beta=30%
Asymptotic Hagan
chapter |1 pages
Implied Vol 1Year 0.80 0.70 60 50 0.40 0.30 0.20 0.10 0.20.40.60.811.21.41.61.82
Hagan-al
chapter |1 pages
Implied Vol 5Year 0.70 0.60 50 0.40 0.30 0.20 0.10 0.20.40.60.81 21.41.61.82
Hagan-al
chapter |2 pages
Implied Vol 10Year 0.60 0 50 . 40 0.30 0.20 0.10 0.00 0.20.40.60.81 21.41.61.82
Hagan-al
