Title of article :
Operator trigonometry of multivariate finance
Author/Authors :
Gustafson، نويسنده , , Karl، نويسنده ,
Issue Information :
دوفصلنامه با شماره پیاپی سال 2010
Pages :
11
From page :
374
To page :
384
Abstract :
We inquire into an operator-trigonometric analysis of certain multi-asset financial pricing models. Our goal is to provide a new geometric point of view for the understanding and analysis of such financial instruments. Among those instruments which we examine are quantos for currency hedging, spread options for multi-asset pricing, portfolio rebalancing under stochastic interest rates, Black–Scholes volatility models, and risk measures.
Keywords :
Quantos , Spread options , 62H20 , 62P05 , 91B28 , 15A18 , Multivariate finance , Operator trigonometry , Risk measures
Journal title :
Journal of Multivariate Analysis
Serial Year :
2010
Journal title :
Journal of Multivariate Analysis
Record number :
1565360
Link To Document :
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