Hydrodynamics of Markets: Hidden Links between Physics and Finance (Elements in Quantitative Finance) (Record no. 756885)
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| 000 -LEADER | |
|---|---|
| fixed length control field | 02066nam a2200217 4500 |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| ISBN | 9781009503105 |
| 041 ## - LANGUAGE CODE | |
| Language code of text/sound track or separate title | English |
| 082 ## - DEWEY DECIMAL CLASSIFICATION NUMBER | |
| Classification number | 332.0151 |
| Item number | LIP/H |
| 084 ## - OTHER CLASSIFICATION NUMBER | |
| Source of Number | Colon Classification |
| 100 ## - MAIN ENTRY--AUTHOR NAME | |
| Personal name | Lipton, Alexander |
| 245 ## - TITLE STATEMENT | |
| Title | Hydrodynamics of Markets: Hidden Links between Physics and Finance (Elements in Quantitative Finance) |
| Statement of responsibility, etc | Edited by Riccardo Rebonato |
| 250 ## - EDITION STATEMENT | |
| Edition statement | 1 |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT) | |
| Place of publication | UK: |
| Name of publisher | Cambridge University Press, |
| Year of publication | 2024. |
| 300 ## - PHYSICAL DESCRIPTION | |
| Number of Pages | 138p. |
| 500 ## - GENERAL NOTE | |
| General note | 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. |
| 505 ## - FORMATTED CONTENTS NOTE | |
| Formatted contents note | Contents<br/><br/>1. Introduction <br/>2. Fluid Flows <br/>3. Kolmogorov Stochastic Process <br/>4. Klein–Kramers Stochastic Process <br/>5. Transition Probability Densities for Stochastic Processes<br/>6. Gaussian Stochastic Processes <br/>7. Non-Gaussian Stochastic Processes <br/>8. Pricing of Financial Instruments<br/>9. Conclusions <br/> References |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical Term | Economics- Markets- Quantitative Finance |
| 700 ## - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Rebonato, Riccardo (ed.) |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) | |
| Source of classification or shelving scheme | Dewey Decimal Classification |
| Koha item type | Book |
| Withdrawn status | Lost status | Source of classification or shelving scheme | Damaged status | Not for loan | Collection code | Home Library | Current Location | Shelving location | Date acquired | Source of acquisition | Cost, normal purchase price | Full call number | Accession Number | Price effective from | Koha item type |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Dewey Decimal Classification | Non-fiction | Dept. of Economics | Dept. of Economics | Processing Center | 23/02/2026 | MBC/0763/2025,13/02/2026 | 2222.00 | 332.0151 LIP/H | ECN16991 | 23/02/2026 | Book |