Operator trigonometry of multivariate finance

DOI10.1016/j.jmva.2009.01.014zbMath1187.91229OpenAlexW2004937889MaRDI QIDQ1049542

Karl Gustafson

Publication date: 12 January 2010

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2009.01.014

zbMATH Keywords

operator trigonometryrisk measuresspread optionsmultivariate financequantos

Mathematics Subject Classification ID

Related Items (1)

A new financial risk ratio

Cites Work

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• The geometry of statistical efficiency and matrix statistics
• American options exercise boundary when the volatility changes randomly
• Antieigenvalues
• Matrix trigonometry
• Operator trigonometry of statistics and econometrics
• The mathematics of arbitrage
• Pricing and Hedging Spread Options
• Operator trigonometry of preconditioning, domain decomposition, sparse approximate inverses, successive overrelaxation, minimum residual schemes
• An extended operator trigonometry

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