Nonlinear option pricing /

Nonlinear option pricing / by Julien Guyon and Pierre Henry-Labordere.

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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...

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Bibliographic Details
Online Access: Full Text (via O'Reilly/Safari)
Main Authors: Guyon, Julien (Author), Henry-Labordere, Pierre (Author)
Corporate Author: Taylor & Francis
Format: eBook
Language:English
Published: Boca Raton, FL : Taylor and Francis, an imprint of Chapman and Hall/CRC, [2014]
Edition:First edition.
Series:Chapman & Hall/CRC financial mathematics series.
Subjects:
Business mathematics.
Nonlinear pricing > Mathematical models.
Options (Finance) > Prices > Mathematical models.
Business mathematics
Options (Finance) > Prices > Mathematical models
Table of 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

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