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...

Full description

Bibliographic Details
Main Authors:	Guyon, Julien (Author), Henry-Labordère, Pierre (Author)
Corporate Author:	Taylor & Francis
Format:	eBook
Language:	English
Language Notes:	English.
Published:	Boca Raton, FL : CRC Press, [2014]
Series:	Chapman & Hall/CRC financial mathematics series.
Subjects:	Options (Finance) > Prices > Mathematical models. Nonlinear pricing > Mathematical models. Business mathematics. Options (Finances) > Prix > Modèles mathématiques. Tarification non linéaire > Modèles mathématiques. Mathématiques financières. BUSINESS & ECONOMICS > Finance. Business mathematics Options (Finance) > Prices > Mathematical models Optionspreistheorie Nichtlineare partielle Differentialgleichung Stochastische Differentialgleichung Finanzmathematik Electronic books.
Online Access:	Connect to the full text of this electronic book

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.
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.