Operator trigonometry of multivariate finance

Karl Gustafson

Journal of Multivariate Analysis, 2010, vol. 101, issue 2, 374-384

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: 62H20; 62P05; 91B28; 15A18; Multivariate; finance; Operator; trigonometry; Quantos; Spread; options; Risk; measures (search for similar items in EconPapers)
Date: 2010
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