Nonlinear models in mathematical finance : new research trends in option pricing /

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Otros Autores: Ehrhardt, Matthias
Formato: Electrónico eBook
Idioma:Inglés
Publicado: New York : Nova Science Publishers, ©2008.
Temas:
Options (Finance) > Prices > Mathematical models.
Investments > Mathematical models.
Options (Finances) > Prix > Modèles mathématiques.
Investissements > Modèles mathématiques.
BUSINESS & ECONOMICS > Investments & Securities > General.
Acceso en línea:Texto completo

MARC

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245 0 0 |a Nonlinear models in mathematical finance :  |b new research trends in option pricing /  |c Matthias Ehrhardt, editor. 
260 |a New York :  |b Nova Science Publishers,  |c ©2008. 
300 |a 1 online resource (xiii, 358 pages) :  |b illustrations (some color) 
336 |a text  |b txt  |2 rdacontent 
337 |a computer  |b c  |2 rdamedia 
338 |a online resource  |b cr  |2 rdacarrier 
340 |g polychrome.  |2 rdacc  |0 http://rdaregistry.info/termList/RDAColourContent/1003 
347 |a text file  |2 rdaft  |0 http://rdaregistry.info/termList/fileType/1002 
504 |a Includes bibliographical references and index. 
505 0 |a NONLINEAR MODELSIN MATHEMATICAL FINANCE:NEW RESEARCH TRENDSIN OPTION PRICING; NONLINEAR MODELSIN MATHEMATICAL FINANCE:NEW RESEARCH TRENDSIN OPTION PRICING; CONTENTS; PREFACE NONLINEAR MODELS IN OPTION PRICING; ABSTRACT; INTRODUCTION; PART I: NONLINEAR BLACK-SCHOLES MODELS; PART II: ANALYTIC SOLUTIONS; PART III: NUMERICAL TREATMENT OF NONLINEAR BLACK-SCHOLES EQUATIONS; PART IV: PARAMETER IDENTIFICATION (INVERSE PROBLEMS); NONLINEAR MODELS IN OPTION PRICING -- AN INTRODUCTION; Abstract; 1. Introduction; 2. Financial Derivatives; 3. Linear Black-Scholes Equations; 4. Nonlinear Black-Scholes Equations. 
505 8 |a 5. Terminal and Boundary Conditions6. Volatility Models; Conclusion; Acknowledgements; Appendix; A. Stochastics; B. Pricing Formulae; References; PART I. NONLINEAR BLACK-SCHOLES MODELS; OPTION PRICING AND HEDGING IN THE PRESENCE OF TRANSACTION COSTS AND NONLINEAR PARTIAL DIFFERENTIAL EQUATIONS; Abstract; 1. Introduction; 2. Modelling the Transaction Costs; 3. The Leland's Approach to Option Pricing and Hedging; 4. Utility-Based Option Pricing and Hedging; 5. Conclusion; Acknowledgements; References; UTILITY INDIFFERENCE PRICING WITH MARKET INCOMPLETENESS; Abstract; 1. Introduction. 
505 8 |a 2. Utility-Based Pricing and Hedging: The General Set-up3. Basis Risk Model; 4. Partial Information Basis Risk Model; Conclusion; Acknowledgements; References; PART II. ANALYTIC SOLUTIONS; PRICING OPTIONS IN ILLIQUID MARKETS: SYMMETRY REDUCTIONS AND EXACT SOLUTIONS; Abstract; 1. Introduction; 2. Illiquid Markets and Nonlinear Black-Scholes Equations; 3. Invariant Solutions for a Nonlinear Black-Scholes Equation; 4. Properties of Solutions and Parameter-Sensitivity; Conclusion; Acknowledgements; References. 
505 8 |a DISTRIBUTIONAL SOLUTIONS TO AN INTEGRO-DIFFERENTIAL PARABOLIC PROBLEM ARISING IN FINANCIAL MATHEMATICSAbstract; 1. Introduction; 2. Solutions for the Integro-Differential Problem (3); 3. Solutions for the Convolution Problem (8); Acknowledgements; References; PART III. NUMERICAL TREATMENT OF NONLINEARBLACK-SCHOLES EQUATIONS; A SEMIDISCRETIZATION METHOD FOR SOLVING NONLINEAR BLACK-SCHOLES EQUATIONS: NUMERICAL ANALYSIS AND COMPUTING; Abstract; 1. Introduction; 2. Numerical Schemes Construction; 3. Numerical Analysis about Local in Time Models; 4. Numerical Analysis about Global in Time Models. 
505 8 |a ConclusionAcknowledgements; References; TRANSFORMATION METHODS FOR EVALUATING APPROXIMATIONS TO THE OPTIMAL EXERCISE BOUNDARY FOR LINEAR AND NONLINEAR BLACK-SCHOLES EQUATIONS; Abstract; 1. Introduction; 2. Risk Adjusted Methodology Model; 3. Transformation Method for a Linear Black-Scholes Equa-tion; 4. Transformation Method for a Nonlinear Black-Scholes Equation; 5. Transformation Methods for Asian Call Options; Conclusion; Acknowledgements; References; GLOBAL IN SPACE NUMERICAL COMPUTATION FOR THE NONLINEAR BLACK-SCHOLES EQUATION; Abstract; 1. Introduction; 2. Transaction Costs Model. 
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650 0 |a Options (Finance)  |x Prices  |x Mathematical models. 
650 0 |a Investments  |x Mathematical models. 
650 6 |a Options (Finances)  |x Prix  |x Modèles mathématiques. 
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700 1 |a Ehrhardt, Matthias. 
776 0 8 |i Print version:  |t Nonlinear models in mathematical finance.  |d New York : Nova Science Publishers, ©2008  |w (DLC) 2008032256 
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