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

By: Contributor(s): Material type: TextTextSeries: 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
Item type Current library Call number Status Date due Barcode
General Books 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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