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Analysis, geometry, and modeling in finance : advanced methods in option pricing

Analysis, geometry, and modeling in finance : advanced methods in option pricing (5회 대출)

자료유형
단행본
개인저자
Henry-Labordere, Pierre.
서명 / 저자사항
Analysis, geometry, and modeling in finance : advanced methods in option pricing / Pierre Henry-Labordere.
발행사항
Boca Raton :   CRC Press,   c2009.  
형태사항
383 p. : ill. ; 25 cm.
총서사항
Chapman & Hall/CRC financial mathematics series
ISBN
9781420086997 (alk. paper) 1420086995 (alk. paper)
일반주기
"A Chapman & Hall book."  
서지주기
Includes bibliographical references (p. 369-378) and index.
일반주제명
Options (Finance) -- Mathematical models.
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020 ▼a 9781420086997 (alk. paper)
020 ▼a 1420086995 (alk. paper)
035 ▼a (KERIS)REF000014989297
040 ▼a DLC ▼c DLC ▼d BTCTA ▼d BAKER ▼d YDXCP ▼d C#P ▼d BWX ▼d CDX ▼d DLC ▼d 211009
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082 0 0 ▼a 332.64/53 ▼2 23
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090 ▼a 332.6453 ▼b H522a
100 1 ▼a Henry-Labordere, Pierre.
245 1 0 ▼a Analysis, geometry, and modeling in finance : ▼b advanced methods in option pricing / ▼c Pierre Henry-Labordere.
260 ▼a Boca Raton : ▼b CRC Press, ▼c c2009.
300 ▼a 383 p. : ▼b ill. ; ▼c 25 cm.
490 1 ▼a Chapman & Hall/CRC financial mathematics series
500 ▼a "A Chapman & Hall book."
504 ▼a Includes bibliographical references (p. 369-378) and index.
650 0 ▼a Options (Finance) ▼x Mathematical models.
830 0 ▼a Chapman & Hall/CRC financial mathematics series.
945 ▼a KLPA

No. 소장처 청구기호 등록번호 도서상태 반납예정일 예약 서비스
No. 1 소장처 중앙도서관/서고6층/ 청구기호 332.6453 H522a 등록번호 111678258 도서상태 대출가능 반납예정일 예약 서비스 B M
No. 2 소장처 과학도서관/Sci-Info(2층서고)/ 청구기호 332.6453 H522a 등록번호 121221945 도서상태 대출가능 반납예정일 예약 서비스 B M
No. 소장처 청구기호 등록번호 도서상태 반납예정일 예약 서비스
No. 1 소장처 중앙도서관/서고6층/ 청구기호 332.6453 H522a 등록번호 111678258 도서상태 대출가능 반납예정일 예약 서비스 B M
No. 소장처 청구기호 등록번호 도서상태 반납예정일 예약 서비스
No. 1 소장처 과학도서관/Sci-Info(2층서고)/ 청구기호 332.6453 H522a 등록번호 121221945 도서상태 대출가능 반납예정일 예약 서비스 B M

컨텐츠정보

목차

Introduction

A Brief Course in Financial Mathematics

Derivative products

Back to basics

Stochastic processes

Ito process

Market models

Pricing and no-arbitrage

Feynman?Kac’s theorem

Change of numeraire

Hedging portfolio

Building market models in practice

Smile Dynamics and Pricing of Exotic Options

Implied volatility

Static replication and pricing of European option

Forward starting options and dynamics of the implied volatility

Interest rate instruments

Differential Geometry and Heat Kernel Expansion

Multidimensional Kolmogorov equation

Notions in differential geometry

Heat kernel on a Riemannian manifold

Abelian connection and Stratonovich’s calculus

Gauge transformation

Heat kernel expansion

Hypo-elliptic operator and Hormander’s theorem

Local Volatility Models and Geometry of Real Curves

Separable local volatility model

Local volatility model

Implied volatility from local volatility

Stochastic Volatility Models and Geometry of Complex Curves

Stochastic volatility models and Riemann surfaces

Put-Call duality

λ-SABR model and hyperbolic geometry

Analytical solution for the normal and log-normal SABR model

Heston model: a toy black hole

Multi-Asset European Option and Flat Geometry

Local volatility models and flat geometry

Basket option

Collaterized commodity obligation

Stochastic Volatility Libor Market Models and Hyperbolic Geometry

Introduction

Libor market models

Markovian realization and Frobenius theorem

A generic SABR-LMM model

Asymptotic swaption smile

Extensions

Solvable Local and Stochastic Volatility Models

Introduction

Reduction method

Crash course in functional analysis

1D time-homogeneous diffusion models

Gauge-free stochastic volatility models

Laplacian heat kernel and Schrodinger equations

Schrodinger Semigroups Estimates and Implied Volatility Wings

Introduction

Wings asymptotics

Local volatility model and Schrodinger equation

Gaussian estimates of Schrodinger semigroups

Implied volatility at extreme strikes

Gauge-free stochastic volatility models

Analysis on Wiener Space with Applications

Introduction

Functional integration

Functional-Malliavin derivative

Skorohod integral and Wick product

Fock space and Wiener chaos expansion

Applications

Portfolio Optimization and Bellman?Hamilton?Jacobi Equation

Introduction

Hedging in an incomplete market

The feedback effect of hedging on price

Nonlinear Black?Scholes PDE

Optimized portfolio of a large trader

Appendix A: Saddle-Point Method

Appendix B: Monte Carlo Methods and Hopf Algebra

References

Index

Problems appear at the end of each chapter.


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