• 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