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Nonlinear option pricing / Julien Guyon, Pierre Henry-Labordère.

By: Contributor(s): Material type: TextSeries: Chapman & Hall/CRC financial mathematics seriesDescription: xxxviii, 445 pages : illustrations ; 24cmISBN:
  • 9781466570337 (hbk.)
  • 1466570334 (hbk.)
  • 1466570342 (PDF ebook)
  • 9781466570344 (PDF ebook)
Subject(s): DDC classification:
  • 332.64 23
LOC classification:
  • HG6042 .G89 2014
Other classification:
  • 31.73
  • 332.06
Contents:
Option pricing in a nutshell -- Monte Carlo -- Some excursions in option pricing -- Nonlinear PDEs: a bit of theory -- Examples of nonlinear problems in finance -- Early exercise problems -- Backward stochastic differential equations -- The uncertain lapse and mortality model -- The uncertain volatility model -- McKean nonlinear stochastic differential equations -- Calibration of local stochastic volatility models to market smiles -- Calibration of local correlation models to market smiles -- Marked branching diffusions -- References -- Index.
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Holdings
Cover image Item type Current library Home library Collection Shelving location Call number Materials specified Vol info URL Copy number Status Notes Date due Barcode Item holds Item hold queue priority Course reserves
General Books CUTN Central Library Generalia 332.64 (Browse shelf(Opens below)) Available 20980

Includes bibliographical references (pages 427-439) and index.

Option pricing in a nutshell -- Monte Carlo -- Some excursions in option pricing -- Nonlinear PDEs: a bit of theory -- Examples of nonlinear problems in finance -- Early exercise problems -- Backward stochastic differential equations -- The uncertain lapse and mortality model -- The uncertain volatility model -- McKean nonlinear stochastic differential equations -- Calibration of local stochastic volatility models to market smiles -- Calibration of local correlation models to market smiles -- Marked branching diffusions -- References -- Index.

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