Nonlinear Option Pricing
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Nonlinear Option Pricing
Henry-Labordere, Pierre; Guyon, Julien
Taylor & Francis Ltd
10/2024
484
Mole
9781032919393
Pré-lançamento - envio 15 a 20 dias após a sua edição
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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.
Este título pertence ao(s) assunto(s) indicados(s). Para ver outros títulos clique no assunto desejado.
PDE Solver;Price PDE;Numerical Methods For Solving High-Dimensional Nonlinear Problems In Option Pricing;Local Stochastic Volatility Models;Techniques For Pricing Options And Calibrating Models;Nonlinear PDE;Advanced Probabilistic Methods To Address Dimensionality;Linear PDE;Calibrating Local Stochastic Volatility Models To Market Prices Of Vanilla Options;Backward Stochastic Differential Equations;Stochastic Representation Of Nonlinear Pde Solutions Based On Marked Branching Diffusions;Parabolic PDE;Nonlinear Black-Scholes Pdes;Conditional Expectation;Quantitative Analysts;Uncertain Volatility Model;Nonlinear Pdes In Quantitative Finance;Equivalent Local Martingale Measure;Monte Carlo Approaches For Pricing In The Uncertain Lapse And Mortality Model;Local Martingale;Practical Nonlinear Option Pricing Problems;Call Spread Option;Local Volatility Model;Utility Indifference Price;Market Smile;Admissible Portfolio;Variational Inequality;Local Volatility;Stochastic Interest Rates;Stochastic Volatility;HJB Equation;Finite Difference Methods;Optimal Stopping Time;Local Stochastic Volatility;PDE System
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.
Este título pertence ao(s) assunto(s) indicados(s). Para ver outros títulos clique no assunto desejado.
PDE Solver;Price PDE;Numerical Methods For Solving High-Dimensional Nonlinear Problems In Option Pricing;Local Stochastic Volatility Models;Techniques For Pricing Options And Calibrating Models;Nonlinear PDE;Advanced Probabilistic Methods To Address Dimensionality;Linear PDE;Calibrating Local Stochastic Volatility Models To Market Prices Of Vanilla Options;Backward Stochastic Differential Equations;Stochastic Representation Of Nonlinear Pde Solutions Based On Marked Branching Diffusions;Parabolic PDE;Nonlinear Black-Scholes Pdes;Conditional Expectation;Quantitative Analysts;Uncertain Volatility Model;Nonlinear Pdes In Quantitative Finance;Equivalent Local Martingale Measure;Monte Carlo Approaches For Pricing In The Uncertain Lapse And Mortality Model;Local Martingale;Practical Nonlinear Option Pricing Problems;Call Spread Option;Local Volatility Model;Utility Indifference Price;Market Smile;Admissible Portfolio;Variational Inequality;Local Volatility;Stochastic Interest Rates;Stochastic Volatility;HJB Equation;Finite Difference Methods;Optimal Stopping Time;Local Stochastic Volatility;PDE System
