rdf-syntax-grammar
mods:
  schema location: http://www.loc.gov/mods/v3 http://www.loc.gov/standards/mods/v3/mods-3-2.xsd
  title info:
    title: Nonlinear option pricing
  name:
    name part: Guyon, Julien
    role:
      role term: creator
    role:
      role term: author.
  name:
    name part: Henry-Labordère, Pierre
    role:
      role term: author.
  name:
    name part: Taylor & Francis
  type of resource: text
  genre: bibliography
  genre: Electronic books.
  origin info:
    place:
      place term: flu
    date issued: 2014
    issuance: monographic
  language:
    language term: eng
  physical description:
    form: remote
    extent: 1 online resource (xxxviii, 439 pages) : illustrations.
  abstract: 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. Real-World Solutions for Quantitative Analysts The book helps quants develop both their analytical and numerical expertise. It focuses on general mathematical tools rather than specific financial questions so that readers can easily use the tools to solve their own nonlinear problems. The authors build intuition through numerous real-world examples of numerical implementation. Although the focus is on ideas and numerical examples, the authors introduce relevant mathematical notions and important results and proofs. The book also covers several original approaches, including regression methods and dual methods for pricing chooser options, Monte Carlo approaches for pricing in the uncertain volatility model and the uncertain lapse and mortality model, the Markovian projection method and the particle method for calibrating local stochastic volatility models to market prices of vanilla options with/without stochastic interest rates, the a + b technique for building local correlation models that calibrate to market prices of vanilla options on a basket, and a new stochastic representation of nonlinear PDE solutions based on marked branching diffusions.
  table of contents: Front Cover; Dedication; Contents; Preface; List of Figures; List of Tables; 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.
  table of contents: Chapter 11: Calibration of Local Stochastic Volatility Models to Market SmilesChapter 12: Calibration of Local Correlation Models to Market Smiles; Chapter 13: Marked Branching Diffusions; References.
  note: Julien Guyon, Pierre Henry-Labordére.
  note: Includes bibliographical references (pages 427-439).
  note: English.
  subject:
    topic: Options (Finance)
    topic: Prices
    topic: Mathematical models
  subject:
    topic: Nonlinear pricing
    topic: Mathematical models
  subject:
    topic: Business mathematics
  subject:
    topic: Options (Finances)
    topic: Prix
    topic: Modèles mathématiques
  subject:
    topic: Tarification non linéaire
    topic: Modèles mathématiques
  subject:
    topic: Mathématiques financières
  subject:
    topic: BUSINESS & ECONOMICS
    topic: Finance
  subject:
    topic: Business mathematics
  subject:
    topic: Options (Finance)
    topic: Prices
    topic: Mathematical models
  subject:
    topic: Optionspreistheorie
  subject:
    topic: Nichtlineare partielle Differentialgleichung
  subject:
    topic: Stochastische Differentialgleichung
  subject:
    topic: Finanzmathematik
  classification: HG6024
  classification: 332.6
  classification: 31.73
  classification: 83.03
  related item:
    identifier: (OCoLC)870961013
  related item:
    title info:
      title: Chapman & Hall/CRC financial mathematics series
  identifier: 9781466570344
  identifier: 1466570342
  identifier: 1466570334
  identifier: 9781466570337
  identifier: 1322631360
  identifier: 9781322631363
  identifier: 2012286518
  identifier: CL0500000531 Safari Books Online
  identifier: http://proxy.library.tamu.edu/login
  record info:
    record content source: UMI
    record creation date: 150115
    record change date: 20241111204814.7
    record identifier: in00005528601
    language of cataloging:
      language term: eng