Financial Geometry: A Geometric Management Method for Hedging and Risk Management

Author: Alvin Krouk
Publisher:
Publish Date: 2003-11-01
Features: In Financial Geometry, Krouk provides a completely unified approach in a concise and accessible manner. He connects financial problems with differential geometry and makes this connection surprisingly effective. Krouk's writing style is exceptionally clear and easy to understand, even pedagogical. He cites numerous examples, making the application of his methods in the real world straightforward and comprehensible. Over the past three decades, there has been an explosive development in the use of financial derivatives and the valuation based on advanced mathematical theories. The theory based on stochastic calculus provides a conceptual framework for valuation and computational tools. With the maturity of derivative markets, the focus has shifted from the valuation of individual financial instruments to the hedging and risk management of large investment portfolios. The challenge lies in understanding the behavior of complex financial instruments that may depend on hundreds or thousands of potential risk factors. Financial Geometry will help you grasp this. Of course, mathematical methods remain viable, but Financial Geometry offers an intuitive geometric representation and powerful computational tools to describe the complex risks of the modern financial world.