Mendeley出力
＜図書＞
Analysis, geometry, and modeling in finance : advanced methods in option pricing
| 責任表示 | Pierre Henry-Labordère |
|---|---|
| シリーズ | Chapman & Hall/CRC financial mathematics series ; [13] |
| データ種別 | 図書 |
| 出版情報 | Boca Raton : Chapman & Hall/CRC Press , c2009 |
| 本文言語 | 英語 |
| 大きさ | 383 p. : ill. ; 25 cm |
| 概要 | 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 i... 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. Annotation ©2009 Book News, Inc., Portland, OR (booknews.com) 続きを見る |
所蔵情報
| 状態 | 巻次 | 所蔵場所 | 請求記号 | 刷年 | 文庫名称 | 資料番号 | コメント | 予約・取寄 | 複写申込 | 自動書庫 |
|---|---|---|---|---|---|---|---|---|---|---|
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alk. paper | 理系図3F 数理独自 | HENR/30/1 | 2009 |
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023212008005717 |
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書誌詳細
| 一般注記 | Includes bibliographical references (p. 369-378) and index |
|---|---|
| 著者標目 | *Henry-Labordère, Pierre |
| 件 名 | LCSH:Options (Finance) -- Mathematical models 全ての件名で検索 |
| 分 類 | LCC:HG6024.A3 DC22:332.64/53 |
| 書誌ID | 1001228004 |
| ISBN | 9781420086997 |
| NCID | BA87506454 |
| 巻冊次 | ISBN:9781420086997 |
| 登録日 | 2009.09.18 |
| 更新日 | 2009.11.02 |