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The book explores the connections between physics and financial engineering, focusing on various complex problems such as hydrodynamic flows and particle movements in random fields. It introduces a unified mathematical framework utilizing Kelvin waves to solve affine differential equations, applicable to models like Black-Scholes and Heston. This innovative approach aids in pricing Asian options and managing volatility swaps, while also addressing contemporary challenges in cryptocurrency trading. The work is available as Open Access on Cambridge Core.
Zakup książki
Hydrodynamics of Markets, Alexander Lipton
- Język
- Rok wydania
- 2024
- Oprawa
- (miękka)
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- Tytuł
- Hydrodynamics of Markets
- Podtytuł
- Hidden Links Between Physics and Finance
- Język
- angielski
- Autorzy
- Alexander Lipton
- Wydawca
- Cambridge University Press
- Rok wydania
- 2024
- Oprawa
- miękka
- Liczba stron
- 75
- ISBN13
- 9781009503105
- Seria
- Tagi
- Biznes, Nauki przyrodnicze
- Ocena
- 4 z 5
- Opis
- The book explores the connections between physics and financial engineering, focusing on various complex problems such as hydrodynamic flows and particle movements in random fields. It introduces a unified mathematical framework utilizing Kelvin waves to solve affine differential equations, applicable to models like Black-Scholes and Heston. This innovative approach aids in pricing Asian options and managing volatility swaps, while also addressing contemporary challenges in cryptocurrency trading. The work is available as Open Access on Cambridge Core.