Julien Guyon, Pierre Henry-Labordere

Nonlinear Option Pricing (eBook, PDF)

• Format: PDF

Produktbeschreibung

New Tools to Solve Your Option Pricing ProblemsFor 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 hi

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Produktdetails

• Verlag: Taylor & Francis eBooks
• Seitenzahl: 484
• Erscheinungstermin: 19. Dezember 2013
• Englisch
• ISBN-13: 9781466570344
• Artikelnr.: 57099910

Autorenporträt

Julien Guyon, Pierre Henry-Labordere

Inhaltsangabe

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.