Analysis, geometry, and modeling in finance; advanced methods in options pricing.

9781420086997

Analysis, geometry, and modeling in finance; advanced methods in options pricing.

Henry-Labordere, Pierre.

CRC / Taylor & Francis

2009

383 pages

$79.95

Hardcover

Chapman & Hall/CRC financial mathematics series; 13

HG6024

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-Labordere (Societe Generale) 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.

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