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Operator trigonometry of multivariate finance

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  • Gustafson, Karl

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.

Suggested Citation

  • Gustafson, Karl, 2010. "Operator trigonometry of multivariate finance," Journal of Multivariate Analysis, Elsevier, vol. 101(2), pages 374-384, February.
    • Handle: RePEc:eee:jmvana:v:101:y:2010:i:2:p:374-384
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    References listed on IDEAS

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    1. Baxter,Martin & Rennie,Andrew, 1996. "Financial Calculus," Cambridge Books, Cambridge University Press, number 9780521552899, January.
    2. Carr, Peter & Geman, Helyette & Madan, Dilip B., 2001. "Pricing and hedging in incomplete markets," Journal of Financial Economics, Elsevier, vol. 62(1), pages 131-167, October.
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    Cited by:

    1. Pankaj Agrrawal, 2023. "The Gibbons, Ross, and Shanken Test for Portfolio Efficiency: A Note Based on Its Trigonometric Properties," Mathematics, MDPI, vol. 11(9), pages 1-19, May.

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