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Operator trigonometry of multivariate finance
Authors:Karl Gustafson
Institution:University of Colorado, Department of Mathematics, Boulder, CO 80309-0395, USA
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
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