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)
Tabla de Contenidos:
  • 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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