Applications in Mathematical Finance

Ivan G. Avramidi
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Ivan G. Avramidi: New Mexico Tech, Department of Mathematics

Chapter Chapter 8 in Heat Kernel Method and its Applications, 2015, pp 329-377 from Springer

Abstract: Abstract This chapter presents an introduction to mathematical finance. After a short review of financial instruments we introduce various models, including, Black-Scholes model, stochastic volatility models and jump diffusion models, and apply the methods described in previous chapters to SABR model and Heston model.

Keywords: Heat Kernel; Option Price; Call Option; Implied Volatility; Strike Price (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-319-26266-6_8

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DOI: 10.1007/978-3-319-26266-6_8

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