Nonlinear Option Pricing

1. Auflage 2013
ISBN: 978-1-4665-7033-7
Verlag: Chapman and Hall/CRC

Buch, Englisch, 484 Seiten, Format (B × H): 161 mm x 240 mm, Gewicht: 889 g

Reihe: Chapman and Hall/CRC Financial Mathematics Series

Collecting many methods that have previously been scattered in the literature, this book presents advanced techniques for solving high-dimensional nonlinear problems arising in quantitative finance. Designed for practitioners, it is the first monograph dedicated to nonlinear option pricing. The authors explain regression and dual methods for American and chooser options, the Monte Carlo approach for pricing the uncertain volatility model and the uncertain lapse and mortality model, the particle method to calibrate local stochastic volatility models and local correlation models to market smiles, and stochastic representations based on marked branching diffusions.

Zielgruppe

Professional Practice & Development

Autoren/Hrsg.

Guyon, Julien

Henry-Labordere, Pierre

Fachgebiete

• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Finanzsektor & Finanzdienstleistungen: Allgemeines
• Mathematik | Informatik Mathematik Numerik und Wissenschaftliches Rechnen Angewandte Mathematik, Mathematische Modelle
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Anlagen & Wertpapiere
• Mathematik | Informatik Mathematik Mathematik Interdisziplinär Finanz- und Versicherungsmathematik

Inhaltsverzeichnis

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.

Über Autor(innen)

Julien Guyon, Pierre Henry-Labordere