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

Guyon, Julien; Henry-Labordere, Pierre

ISBN 10: 1466570334 / ISBN 13: 9781466570337

Published by Chapman and Hall/CRC, 2013

About this Item

A copy that has been read, remains in good condition. All pages are intact, and the cover is intact. The spine and cover show signs of wear. Pages can include notes and highlighting and show signs of wear, and the copy can include "From the library of" labels or previous owner inscriptions. 100% GUARANTEE! Shipped with delivery confirmation, if you're not satisfied with purchase please return item! Ships via media mail.

Seller Inventory # OTV.1466570334.G

Bibliographic Details

• Title: Nonlinear Option Pricing (Chapman and Hall/CRC Financial Mathematics Series)
• Publisher: Chapman and Hall/CRC
• Publication Date: 2013
• Language: English
• ISBN 10: 1466570334
• ISBN 13: 9781466570337
• Binding: Hardcover
• Condition: good

About this title

Synopsis

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.

About the Author

Julien Guyon, Pierre Henry-Labordere