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Nonlinear option pricing

Title
Nonlinear option pricing / by Julien Guyon and Pierre Henry-Labordere.
ISBN
9781466570344
1466570342
Edition
First edition.
Publication
Boca Raton, FL : Taylor and Francis, an imprint of Chapman and Hall/CRC, [2014]
Copyright Notice Date
©2013
Physical Description
1 online resource (484 pages) : 110 illustrations
Local Notes
Access is available to the Yale community.
Access and use
Access restricted by licensing agreement.
Summary
New Tools to Solve Your Option Pricing Problems For nonlinear PDEs encountered in quantitative finance, advanced probabilistic methods are needed to address dimensionality issues. Written by two leaders in quantitative research--including Risk magazine's 2013 Quant of the Year--Nonlinear Option Pricing compares various numerical methods for solving high-dimensional nonlinear problems arising in option pricing. Designed for practitioners, it is the first authored book to discuss nonlinear Black-Scholes PDEs and compare the efficiency of many different methods.
Variant and related titles
O'Reilly Safari. OCLC KB.
Other formats
Print version:
Format
Books / Online
Language
English
Added to Catalog
September 29, 2021
Series
Chapman & Hall/CRC financial mathematics series.
Chapman and Hall/CRC financial mathematics series
Bibliography
Includes bibliographical references and index.
Contents
Chapter 1 Option Pricing in a Nutshell
chapter 2 Monte Carlo
chapter 3 Some Excursions in Option Pricing
chapter 4 Nonlinear PDEs: A Bit of Theory
chapter 5 Examples of Nonlinear Problems in Finance
chapter 6 Early Exercise Problems
chapter 7 Backward Stochastic Differential Equations
chapter 8 The Uncertain Lapse and Mortality Model
chapter 9 The Uncertain Volatility Model
chapter 10 McKean Nonlinear Stochastic Differential Equations
chapter 11 Calibration of Local Stochastic Volatility Models to Market / Smiles
chapter 12 Calibration of Local Correlation Models to Market Smiles
chapter 13 Marked Branching Diffusions
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