Nonlinear option pricing. ([2014])

• Record Type: Book
• Further Information: Note: Julien Guyon, Pierre Henry-Labordére.
• Authors: Guyon, Julien; Henry-Labordère, Pierre
• Contents: Front Cover; Dedication; Contents; Preface; List of Figures; List of Tables; 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 SmilesChapter 12: Calibration of Local Correlation Models to Market Smiles; Chapter 13: Marked Branching Diffusions; References.
• Publisher Details: Boca Raton, FL : CRC Press
• Publication Date: 2014
• Copyright Date: 2014
• Extent: 1 online resource (xxxviii, 439 pages), illustrations
• Subjects: 332.6; Options (Finance) -- Prices -- Mathematical models; Nonlinear pricing -- Mathematical models; Business mathematics; Nonlinear theories; Options (Finance) -- Prices -- Mathematical models; Options (Finance); Business Mathematics; Pricing; Finance -- Mathematical Models; Business & Economics -- Investments & Securities -- Options; Business & Economics -- Business Mathematics; Business & Economics -- Marketing -- General; Business & Economics -- Finance -- General; BUSINESS & ECONOMICS / Finance; Electronic books
• Languages: English
• ISBNs: 9781466570344; 1466570342; 1466570334; 9781466570337
• Related ISBNs: 1466570342; 1466570334; 1322631360; 9781322631363; 9781466570337
• Notes: Note: Includes bibliographical references (pages 427-439).; Note: Online resource; title from title page (Safari, viewed January 8, 2015).
• Access Rights: Legal Deposit; Only available on premises controlled by the deposit library and to one user at any one time; The Legal Deposit Libraries (Non-Print Works) Regulations (UK).
• Access Usage: Restricted: Printing from this resource is governed by The Legal Deposit Libraries (Non-Print Works) Regulations (UK) and UK copyright law currently in force.