Alexander Lipton: Hydrodynamics of Markets
Hydrodynamics of Markets
Buch
- Hidden Links Between Physics and Finance
Artikel noch nicht erschienen, voraussichtlicher Liefertermin ist der 2.1.2025.
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Sie können den Titel schon jetzt bestellen. Versand an Sie erfolgt gleich nach Verfügbarkeit.
EUR 66,80*
- Cambridge University Press, 01/2025
- Einband: Gebunden
- Sprache: Englisch
- ISBN-13: 9781009503112
- Bestellnummer: 11827152
- Umfang: 148 Seiten
- Gewicht: 367 g
- Maße: 229 x 152 mm
- Stärke: 10 mm
- Erscheinungstermin: 2.1.2025
Achtung: Artikel ist nicht in deutscher Sprache!
Weitere Ausgaben von Hydrodynamics of Markets
Klappentext
An intriguing link between a wide range of problems occurring in physics and financial engineering is presented. These problems include the evolution of small perturbations of linear flows in hydrodynamics, the movements of particles in random fields described by the Kolmogorov and Klein-Kramers equations, the Ornstein-Uhlenbeck and Feller processes, and their generalizations. They are reduced to affine differential and pseudo-differential equations and solved in a unified way by using Kelvin waves and developing a comprehensive math framework for calculating transition probabilities and expectations. Kelvin waves are instrumental for studying the well-known Black-Scholes, Heston, and Stein-Stein models and more complex path-dependent volatility models, as well as the pricing of Asian options, volatility and variance swaps, bonds, and bond options. Kelvin waves help to solve several cutting-edge problems, including hedging the impermanent loss of Automated Market Makers for cryptocurrency trading. This title is also available as Open Access on Cambridge Core.Biografie
Alexander Lipton is a Managing Director and Co-Head of the Global Quantitative Group at Bank of America Merrill Lynch, and Visiting Professor of Mathematics at Imperial College. Prior to his current role, he was Managing Director and Head of Capital Structure Quantitative Research at Citadel Investment Group in Chicago. He has also worked at Credit Suisse, Deutsche Bank, and Bankers Trust. Previously, he was a Full Professor of Mathematics at the University of Illinois, Chicago, and Consultant at Los Alamos National Laboratory. He received his undergraduate and graduate degrees from Moscow State University. Professor Lipton is author of two books and editor of three. He has published numerous research papers on hydrodynamics, magnetohydrodynamics, astrophysics, and financial engineering. He has delivered many invited lectures at leading universities and major conferences worldwide. Alexander Lipton
Hydrodynamics of Markets
EUR 66,80*