Julien Guyon (Bloomberg LP, New York, New York, USA), Pierre Henry-Labordere (Societe Generale, Paris, France)

Nonlinear Option Pricing

• Gebundenes Buch

Produktbeschreibung

Written by two leaders in quantitative research, this book 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, including novel techniques for pricing options, calibrating models, and more. The book helps quants develop both their analytical and numerical expertise, building intuition through numerous real-world examples of numerical implementation.

Produktdetails

• Chapman and Hall/CRC Financial Mathematics Series
• Verlag: Taylor & Francis Inc
• Seitenzahl: 484
• Erscheinungstermin: 19. Dezember 2013
• Englisch
• Abmessung: 243mm x 164mm x 27mm
• Gewicht: 878g
• ISBN-13: 9781466570337
• ISBN-10: 1466570334
• Artikelnr.: 36756232

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.