Guyon / Henry-Labordere Nonlinear Option Pricing

1. Auflage 2013
ISBN: 978-1-4665-7034-4
Verlag: Taylor & Francis
Format: PDF
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)

E-Book, Englisch, 484 Seiten

Reihe: Chapman & 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. Designed for practitioners, it is one of the first books to discuss nonlinear Black-Scholes partial differential equations (PDEs). The authors explain regression and dual methods for chooser options, the Monte Carlo approach for pricing the uncertain volatility model and the uncertain lapse and mortality model, the Markovian projection/particle method to calibrate local stochastic volatility, hybrid models to market vanilla options, and stochastic representations based on marked branching diffusions.

Autoren/Hrsg.

Guyon, Julien

Henry-Labordere, Pierre

Fachgebiete

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

Inhaltsverzeichnis

Introduction. Complements in Option Pricing. Examples of Nonlinear PDEs in Finance. Optimal Stopping Problems. Backward Stochastic Differential Equations. Uncertain Lapse and Mortality Model. Uncertain Volatility Model. Nonlinear McKean Stochastic Differential Equations. Marked Branching Diffusions. References. Index.