Nonlinear Option Pricing (Chapman and Hall/CRC Financial Mathematics Series)

4 avg rating
( 2 ratings by Goodreads )
 
9781466570337: Nonlinear Option Pricing (Chapman and Hall/CRC Financial Mathematics Series)

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 Pricing compares various numerical methods for solving high-dimensional nonlinear problems arising in option pricing. Designed for practitioners, it is the first authored book to discuss nonlinear Black-Scholes PDEs and compare the efficiency of many different methods.

Real-World Solutions for Quantitative Analysts

The book helps quants develop both their analytical and numerical expertise. It focuses on general mathematical tools rather than specific financial questions so that readers can easily use the tools to solve their own nonlinear problems. The authors build intuition through numerous real-world examples of numerical implementation. Although the focus is on ideas and numerical examples, the authors introduce relevant mathematical notions and important results and proofs. The book also covers several original approaches, including regression methods and dual methods for pricing chooser options, Monte Carlo approaches for pricing in the uncertain volatility model and the uncertain lapse and mortality model, the Markovian projection method and the particle method for calibrating local stochastic volatility models to market prices of vanilla options with/without stochastic interest rates, the a + bλ technique for building local correlation models that calibrate to market prices of vanilla options on a basket, and a new stochastic representation of nonlinear PDE solutions based on marked branching diffusions.

"synopsis" may belong to another edition of this title.

Review:

"... provides a wide overview of the advanced modern techniques applied in financial modeling. It gives an optimal combination of analytical and numerical tools in quantitative finance. It could provide guidance on the development of nonlinear methods of option pricing for practitioners as well as for analysts."
―Nikita Y. Ratanov, from Mathematical Reviews Clippings, January 2015

"... anyone with interest in quantitative finance and partial differential equations/continuous time stochastic analysis will not only greatly enjoy this book, but he or she will find both many numerical ideas of real practical interest as well as material for academic research, perhaps for years to come."
―Peter Friz, The Bachelier Finance Society

"This textbook provides a comprehensive treatment of numerical methods for nonlinear option pricing problems."
Zentralblatt MATH 1285

"It is the only book of its kind. ... The contribution of this book is threefold: (a) a practical, intuitive, and self-contained derivation of various of the latest derivative pricing models driven by diffusion processes; (b) an exposition of various advanced Monte Carlo simulation schemes for solving challenging nonlinear problems arising in financial engineering; (c) a clear and accessible survey of the theory of nonlinear PDEs. The authors have done a brilliant job providing just the right amount of rigorous theory required to understand the advanced methodologies they present. ... Julien Guyon and Pierre Henry-Labordère, as befitting their reputations as star quants, have done an excellent job presenting the latest theory of nonlinear PDEs and their applications to finance. Much of the material in the book consists of the authors’ own original results. I highly recommend this book to seasoned mathematicians and experienced quants in the industry ... Mathematicians will be able to see how practitioners argue heuristically to arrive at solutions of the toughest problems in financial engineering; practitioners of quantitative finance will find the book perfectly balanced between mathematical theory, financial modelling, and schemes for numerical implementation."
Quantitative Finance, 2014

"Ever since Black and Scholes solved their eponymous linear PDE in 1969, the complexity of problems plaguing financial practitioners has exploded (non-linearly!). How fitting it is that nonlinear PDEs are now routinely used to extend the original framework. Written by two leading quants at two leading financial houses, this book is a tour de force on the use of nonlinear PDEs in financial valuation."
―Peter Carr, PhD, Global Head of Market Modeling, Morgan Stanley, New York, and Executive Director of Masters in Mathematical Finance, Courant Institute of Mathematical Sciences, New York University

"Finance used to be simple; you could go a long way with just linearity and positivity but this is not the case anymore. This superb book gives a wide array of modern methods for modern problems."
―Bruno Dupire, Head of Quantitative Research, Bloomberg L.P.

"In this unique and impressive book, the authors apply sophisticated modern tools of pure and applied mathematics, such as BSDEs and particle methods, to solve challenging nonlinear problems of real practical interest, such as the valuation of guaranteed equity-linked annuity contracts and the calibration of local stochastic volatility models. Not only that, but sketches of proofs and implementation details are included. No serious student of mathematical finance, whether practitioner or academic, can afford to be without it."
―Jim Gatheral, Presidential Professor, Baruch College, CUNY, and author of The Volatility Surface

"Guyon and Henry-Labordère have produced an impressive textbook, which covers options and derivatives pricing from the point of view of nonlinear PDEs. This book is a comprehensive survey of nonlinear techniques, ranging from American options, uncertain volatility, and uncertain correlation models. It is aimed at graduate students or quantitative analysts with a strong mathematical background. They will find the book reasonably self-contained, i.e., discussing both the mathematical theory and the applications, in a very balanced approach. A must-read for the serious quantitative analyst."
―Marco Avellaneda, Courant Institute of Mathematical Sciences, New York University

"About this title" may belong to another edition of this title.

Buy New View Book
List Price: US$ 83.95
US$ 77.42

Convert Currency

Shipping: FREE
From United Kingdom to U.S.A.

Destination, Rates & Speeds

Add to Basket

Top Search Results from the AbeBooks Marketplace

1.

Julien Guyon, Pierre-henry Labordere
Published by Taylor Francis Inc, United States (2014)
ISBN 10: 1466570334 ISBN 13: 9781466570337
New Hardcover Quantity Available: 1
Seller:
The Book Depository
(London, United Kingdom)
Rating
[?]

Book Description Taylor Francis Inc, United States, 2014. Hardback. Book Condition: New. Language: English . Brand New Book. 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 Pricing compares various numerical methods for solving high-dimensional nonlinear problems arising in option pricing. Designed for practitioners, it is the first authored book to discuss nonlinear Black-Scholes PDEs and compare the efficiency of many different methods. Real-World Solutions for Quantitative Analysts The book helps quants develop both their analytical and numerical expertise. It focuses on general mathematical tools rather than specific financial questions so that readers can easily use the tools to solve their own nonlinear problems. The authors build intuition through numerous real-world examples of numerical implementation. Although the focus is on ideas and numerical examples, the authors introduce relevant mathematical notions and important results and proofs. The book also covers several original approaches, including regression methods and dual methods for pricing chooser options, Monte Carlo approaches for pricing in the uncertain volatility model and the uncertain lapse and mortality model, the Markovian projection method and the particle method for calibrating local stochastic volatility models to market prices of vanilla options with/without stochastic interest rates, the a + blambda technique for building local correlation models that calibrate to market prices of vanilla options on a basket, and a new stochastic representation of nonlinear PDE solutions based on marked branching diffusions. Bookseller Inventory # AAZ9781466570337

More Information About This Seller | Ask Bookseller a Question

Buy New
US$ 77.42
Convert Currency

Add to Basket

Shipping: FREE
From United Kingdom to U.S.A.
Destination, Rates & Speeds

2.

Julien Guyon, Pierre-henry Labordere
Published by Taylor Francis Inc, United States (2014)
ISBN 10: 1466570334 ISBN 13: 9781466570337
New Hardcover Quantity Available: 1
Seller:
The Book Depository US
(London, United Kingdom)
Rating
[?]

Book Description Taylor Francis Inc, United States, 2014. Hardback. Book Condition: New. Language: English . Brand New Book. 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 Pricing compares various numerical methods for solving high-dimensional nonlinear problems arising in option pricing. Designed for practitioners, it is the first authored book to discuss nonlinear Black-Scholes PDEs and compare the efficiency of many different methods. Real-World Solutions for Quantitative Analysts The book helps quants develop both their analytical and numerical expertise. It focuses on general mathematical tools rather than specific financial questions so that readers can easily use the tools to solve their own nonlinear problems. The authors build intuition through numerous real-world examples of numerical implementation. Although the focus is on ideas and numerical examples, the authors introduce relevant mathematical notions and important results and proofs. The book also covers several original approaches, including regression methods and dual methods for pricing chooser options, Monte Carlo approaches for pricing in the uncertain volatility model and the uncertain lapse and mortality model, the Markovian projection method and the particle method for calibrating local stochastic volatility models to market prices of vanilla options with/without stochastic interest rates, the a + blambda technique for building local correlation models that calibrate to market prices of vanilla options on a basket, and a new stochastic representation of nonlinear PDE solutions based on marked branching diffusions. Bookseller Inventory # AAZ9781466570337

More Information About This Seller | Ask Bookseller a Question

Buy New
US$ 79.58
Convert Currency

Add to Basket

Shipping: FREE
From United Kingdom to U.S.A.
Destination, Rates & Speeds

3.

Guyon, Julien
ISBN 10: 1466570334 ISBN 13: 9781466570337
New Quantity Available: 1
Seller:
Paperbackshop-US
(Wood Dale, IL, U.S.A.)
Rating
[?]

Book Description 2013. HRD. Book Condition: New. New Book. Shipped from US within 10 to 14 business days. Established seller since 2000. Bookseller Inventory # VT-9781466570337

More Information About This Seller | Ask Bookseller a Question

Buy New
US$ 75.60
Convert Currency

Add to Basket

Shipping: US$ 3.99
Within U.S.A.
Destination, Rates & Speeds

4.

Guyon, Julien
Published by Chapman and Hall/CRC (2014)
ISBN 10: 1466570334 ISBN 13: 9781466570337
New Quantity Available: 1
Seller:
Books2Anywhere
(Fairford, GLOS, United Kingdom)
Rating
[?]

Book Description Chapman and Hall/CRC, 2014. HRD. Book Condition: New. New Book. Shipped from UK in 4 to 14 days. Established seller since 2000. Bookseller Inventory # GB-9781466570337

More Information About This Seller | Ask Bookseller a Question

Buy New
US$ 69.59
Convert Currency

Add to Basket

Shipping: US$ 11.84
From United Kingdom to U.S.A.
Destination, Rates & Speeds

5.

Julien Guyon, Pierre Henry-Labordere
Published by Taylor and Francis 2014-02-12, Boca Raton, Florida (2014)
ISBN 10: 1466570334 ISBN 13: 9781466570337
New Quantity Available: > 20
Seller:
Blackwell's
(Oxford, OX, United Kingdom)
Rating
[?]

Book Description Taylor and Francis 2014-02-12, Boca Raton, Florida, 2014. Book Condition: New. Bookseller Inventory # 9781466570337

More Information About This Seller | Ask Bookseller a Question

Buy New
US$ 75.20
Convert Currency

Add to Basket

Shipping: US$ 7.89
From United Kingdom to U.S.A.
Destination, Rates & Speeds

6.

Julien Guyon; Pierre Henry-Labordere
Published by Chapman and Hall/CRC (2013)
ISBN 10: 1466570334 ISBN 13: 9781466570337
New Hardcover First Edition Quantity Available: 1
Seller:
Irish Booksellers
(Rumford, ME, U.S.A.)
Rating
[?]

Book Description Chapman and Hall/CRC, 2013. Hardcover. Book Condition: New. book. Bookseller Inventory # M1466570334

More Information About This Seller | Ask Bookseller a Question

Buy New
US$ 91.25
Convert Currency

Add to Basket

Shipping: FREE
Within U.S.A.
Destination, Rates & Speeds

7.

Guyon, Julien; Labordere, Pierre-Henry
Published by Taylor & Francis Inc (2013)
ISBN 10: 1466570334 ISBN 13: 9781466570337
New Hardcover Quantity Available: 1
Rating
[?]

Book Description Taylor & Francis Inc, 2013. Book Condition: New. Series: Chapman & Hall/CRC Financial Mathematics Series. Num Pages: 484 pages, 55 black & white illustrations, 55 black & white tables. BIC Classification: KFF; PBT; PBW. Category: (G) General (US: Trade); (U) Tertiary Education (US: College). Dimension: 243 x 164 x 27. Weight in Grams: 834. . 2013. Hardcover. . . . . . Bookseller Inventory # V9781466570337

More Information About This Seller | Ask Bookseller a Question

Buy New
US$ 92.34
Convert Currency

Add to Basket

Shipping: FREE
From Ireland to U.S.A.
Destination, Rates & Speeds

8.

Julien Guyon, Pierre-Henry Labordere
ISBN 10: 1466570334 ISBN 13: 9781466570337
New Hardcover Quantity Available: 1
Seller:
Ria Christie Collections
(Uxbridge, United Kingdom)
Rating
[?]

Book Description Hardback. Book Condition: New. Not Signed; 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 Pricin. book. Bookseller Inventory # ria9781466570337_rkm

More Information About This Seller | Ask Bookseller a Question

Buy New
US$ 88.40
Convert Currency

Add to Basket

Shipping: US$ 5.09
From United Kingdom to U.S.A.
Destination, Rates & Speeds

9.

Guyon, Julien; Labordere, Pierre-Henry
Published by Taylor & Francis Inc
ISBN 10: 1466570334 ISBN 13: 9781466570337
New Hardcover Quantity Available: 1
Seller:
Kennys Bookstore
(Olney, MD, U.S.A.)
Rating
[?]

Book Description Taylor & Francis Inc. Book Condition: New. Series: Chapman & Hall/CRC Financial Mathematics Series. Num Pages: 484 pages, 55 black & white illustrations, 55 black & white tables. BIC Classification: KFF; PBT; PBW. Category: (G) General (US: Trade); (U) Tertiary Education (US: College). Dimension: 243 x 164 x 27. Weight in Grams: 834. . 2013. Hardcover. . . . . Books ship from the US and Ireland. Bookseller Inventory # V9781466570337

More Information About This Seller | Ask Bookseller a Question

Buy New
US$ 94.05
Convert Currency

Add to Basket

Shipping: FREE
Within U.S.A.
Destination, Rates & Speeds

10.

GUYON, JULIEN; HENRY-LABORDERE, PIERRE
Published by Chapman and Hall/CRC (2014)
ISBN 10: 1466570334 ISBN 13: 9781466570337
New Hardcover Quantity Available: 1
Seller:
Herb Tandree Philosophy Books
(Stroud, GLOS, United Kingdom)
Rating
[?]

Book Description Chapman and Hall/CRC, 2014. Hardback. Book Condition: NEW. 9781466570337 This listing is a new book, a title currently in-print which we order directly and immediately from the publisher. Bookseller Inventory # HTANDREE0499648

More Information About This Seller | Ask Bookseller a Question

Buy New
US$ 83.98
Convert Currency

Add to Basket

Shipping: US$ 10.52
From United Kingdom to U.S.A.
Destination, Rates & Speeds

There are more copies of this book

View all search results for this book