Nonlinear Option Pricing

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

Table des matières

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.

A propos de l'auteur

Julien Guyon, Pierre Henry-Labordere

Résumé

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

Détails du produit

• Auteurs: Julien Guyon, Guyon Julien, Pierre Henry-Labordere
• Edition: Taylor and Francis
• Langues: Anglais
• Format d'édition: Livre de poche
• Sortie: 14.10.2024
• EAN: 9781032919393
• ISBN: 978-1-032-91939-3
• Pages: 484
• Poids: 900 g
• Illustrations: schwarz-weiss Illustrationen
• Thème: Chapman and Hall/CRC Financial Mathematics Series
• Catégories: Sciences sociales, droit, économie > Economie > Général, dictionnaires; BUSINESS & ECONOMICS / Finance / General, MATHEMATICS / General, MATHEMATICS / Probability & Statistics / General, Economic statistics, Finance & accounting, Probability & statistics, Applied mathematics, Probability and statistics, Finance and accounting, Econometrics and economic statistics