Nonlinear option pricing /

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...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autores principales: Guyon, Julien (Autor), Henry-Labordere, Pierre (Autor)
Autor Corporativo: Taylor & Francis
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Boca Raton, FL : Taylor and Francis, an imprint of Chapman and Hall/CRC, [2014]
Edición:First edition.
Colección:Chapman & Hall/CRC financial mathematics series.
Temas:
Business mathematics.
Nonlinear pricing > Mathematical models.
Options (Finance) > Prices > Mathematical models.
Mathématiques financières.
Tarification non linéaire > Modèles mathématiques.
Options (Finances) > Prix > Modèles mathématiques.
MATHEMATICS > General.
MATHEMATICS > Probability & Statistics > General.
Business mathematics
Options (Finance) > Prices > Mathematical models
Acceso en línea:Texto completo (Requiere registro previo con correo institucional)
Descripción
Sumario: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.
Descripción Física:1 online resource (484 pages) : 110 illustrations
Bibliografía:Includes bibliographical references and index.
ISBN:9781466570344
1466570342

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