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Author Guyon, Julien, author.

Title Nonlinear option pricing / by Julien Guyon and Pierre Henry-Labordere. [O'Reilly electronic resource]

Edition First edition.
Publication Info. Boca Raton, FL : Taylor and Francis, an imprint of Chapman and Hall/CRC, [2014]
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Description 1 online resource (484 pages) : 110 illustrations
Series Chapman and Hall/CRC financial mathematics series
Chapman & Hall/CRC financial mathematics series.
Bibliography Includes bibliographical references and index.
Contents 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 / Smiles -- chapter 12 Calibration of Local Correlation Models to Market Smiles -- chapter 13 Marked Branching Diffusions --
Summary 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.
Subject Business mathematics.
Nonlinear pricing -- Mathematical models.
Options (Finance) -- Prices -- Mathematical models.
MATHEMATICS -- Probability & Statistics -- General.
Business mathematics. (OCoLC)fst00842780
Options (Finance) -- Prices -- Mathematical models. (OCoLC)fst01046902
Genre Electronic books.
Added Author Henry-Labordere, Pierre, author.
Taylor & Francis.
Other Form: Print version: 9781466570337(Hardback)
ISBN 9781466570344 (e-book ; PDF)
Standard No. 10.1201/b16332 doi
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