Custom cover image
Custom cover image

Hydrodynamics of markets : hidden links between physics and finance / Alexander Lipton

By: Resource type: Ressourcentyp: Buch (Online)Book (Online)Language: English Series: Cambridge elements. Elements in quantitative financePublisher: Cambridge, United Kingdom ; New York, NY : Cambridge University Press, 2024Copyright date: ©2024Description: 1 Online-RessourceISBN:
  • 9781009503129
Subject(s): Additional physical formats: Erscheint auch als: 1009503111 DDC classification:
  • 332.01/5118 23/eng/20241205
LOC classification:
  • HG106
Online resources: Summary: 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 CorePPN: PPN: 192267429XPackage identifier: Produktsigel: ZDB-94-OAB
No physical items for this record
KIT – The Research University in the Helmholtz Association                         Home | Impressum | Datenschutz | Barrierefreiheit | KIT