Hydrodynamics of Markets

Hidden Links between Physics and Finance

Alexander Lipton author

Format:Paperback

Publisher:Cambridge University Press

Publishing:30th Nov '24

£17.00

This title is due to be published on 30th November, and will be despatched as soon as possible.

Hydrodynamics of Markets cover

The Kelvin wave formalism is used to solve numerous problems in physics and financial engineering, including several open ones.

Explores an intriguing link between a wide range of problems occurring in physics and financial engineering is presented. These problems include the evolution of small perturbations of linear flows in hydrodynamics and the movements of particles in random fields. This title is also available as Open Access on Cambridge Core.An intriguing link between a wide range of problems occurring in physics and financial engineering is presented. These problems include the evolution of small perturbations of linear flows in hydrodynamics, the movements of particles in random fields described by the Kolmogorov and Klein-Kramers equations, the Ornstein-Uhlenbeck and Feller processes, and their generalizations. They are reduced to affine differential and pseudo-differential equations and solved in a unified way by using Kelvin waves and developing a comprehensive math framework for calculating transition probabilities and expectations. Kelvin waves are instrumental for studying the well-known Black-Scholes, Heston, and Stein-Stein models and more complex path-dependent volatility models, as well as the pricing of Asian options, volatility and variance swaps, bonds, and bond options. Kelvin waves help to solve several cutting-edge problems, including hedging the impermanent loss of Automated Market Makers for cryptocurrency trading. This title is also available as Open Access on Cambridge Core.

ISBN: 9781009503105

Dimensions: unknown

Weight: unknown

75 pages