Operator trigonometry of multivariate finance

DOI10.1016/J.JMVA.2009.01.014MaRDI QIDQ1049542zbMATH OpenOpenAlexFDO

Authors Karl Gustafson

Publication date 12 January 2010

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmva.2009.01.014

zbMATH Keywords

risk measuresspread optionsoperator trigonometrymultivariate financequantos

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Eigenvalues, singular values, and eigenvectors (15A18)

Recommendations

• Recent development in mathematical finance: a practitioner's point of view
• Analysis, Geometry, and Modeling in Finance
• Option pricing on multiple assets
• Asymptotic approximations in financial mathematics
• scientific article; zbMATH DE number 1163406

Cites work

• scientific article; zbMATH DE number 1353939 (Why is no real title available?)
• scientific article; zbMATH DE number 947803 (Why is no real title available?)
• American options exercise boundary when the volatility changes randomly
• An extended operator trigonometry
• Antieigenvalues
• Matrix trigonometry
• Noncommutative trigonometry
• Operator trigonometry of preconditioning, domain decomposition, sparse approximate inverses, successive overrelaxation, minimum residual schemes
• Operator trigonometry of statistics and econometrics
• Pricing and Hedging Spread Options
• The geometry of statistical efficiency and matrix statistics
• The mathematics of arbitrage
• Theory of games and economic behavior.

Cited in

(3)

• Operator trigonometry
• A new financial risk ratio
• STOCK MARKETS AND THE OPERATOR NUMBER REPRESENTATION

This page was built for publication: Operator trigonometry of multivariate finance

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1049542)