Nonlinear option pricing /
Guyon, Julien,
Nonlinear option pricing / Julien Guyon, Pierre Henry-Labordère. - xxxviii, 445 pages : illustrations ; 24cm. - Chapman & Hall/CRC financial mathematics series . - Chapman & Hall/CRC financial mathematics series. .
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.
9781466570337 (hbk.) 1466570334 (hbk.) 1466570342 (PDF ebook) 9781466570344 (PDF ebook)
2012286518
GBB357669 bnb
016444061 Uk
Options (Finance)--Prices--Mathematical models.
Nonlinear pricing--Mathematical models.
Business mathematics.
Optionspreistheorie.
Nichtlineare partielle Differentialgleichung.
Stochastische Differentialgleichung.
Finanzmathematik.
HG6042 / .G89 2014
332.64
Nonlinear option pricing / Julien Guyon, Pierre Henry-Labordère. - xxxviii, 445 pages : illustrations ; 24cm. - Chapman & Hall/CRC financial mathematics series . - Chapman & Hall/CRC financial mathematics series. .
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.
9781466570337 (hbk.) 1466570334 (hbk.) 1466570342 (PDF ebook) 9781466570344 (PDF ebook)
2012286518
GBB357669 bnb
016444061 Uk
Options (Finance)--Prices--Mathematical models.
Nonlinear pricing--Mathematical models.
Business mathematics.
Optionspreistheorie.
Nichtlineare partielle Differentialgleichung.
Stochastische Differentialgleichung.
Finanzmathematik.
HG6042 / .G89 2014
332.64