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Nonlinear option pricing /

Guyon, Julien.

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Nonlinear option pricing /

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
正題名/作者:	Nonlinear option pricing // Julien Guyon, Pierre Henry-Labordère.
作者:	Guyon, Julien.
其他作者:	Henry-Labordère, Pierre.
出版者:	Boca Raton, FL :CRC Press, : c2014.,
面頁冊數:	xxxviii, 445 p. :ill. ;25 cm.
內容註:	Option pricing in a nutshell -- Monte Carlo -- 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.
標題:	Options (Finance) - Prices -
ISBN:	9781466570337

Nonlinear option pricing /
Guyon, Julien.

Nonlinear option pricing /Julien Guyon, Pierre Henry-Labordère. - Boca Raton, FL :CRC Press,c2014. - xxxviii, 445 p. :ill. ;25 cm. - Chapman & Hall/CRC financial mathematics series. - Chapman & Hall/CRC financial mathematics series..

Includes bibliographical references (p. 427-439) and index.

Option pricing in a nutshell -- Monte Carlo -- 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.

ISBN: 9781466570337UK53.99

LCCN: 2012286518

Nat. Bib. No.: GBB357669bnb

Nat. Bib. Agency Control No.: 016444061UkSubjects--Topical Terms:

688603
Options (Finance)
--Prices

LC Class. No.: HG6042 / .G89 2014

Dewey Class. No.: 332.64

Nonlinear option pricing /
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020 $a 1466570334 $q (hbk.)
020 $z 9781466570344 $q (PDF ebook)
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040 $a UKMGB $b eng $c UKMGB $d OCLCO $d BTCTA $d YDXCP $d JCU $d OCLCO $d Z@L $d NLGGC $d TEU $d CHVBK $d OCLCQ $d DLC
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245 1 0 $a Nonlinear option pricing / $c Julien Guyon, Pierre Henry-Labordère.
260 $a Boca Raton, FL : $b CRC Press, $c c2014.
300 $a xxxviii, 445 p. : $b ill. ; $c 25 cm.
490 1 $a Chapman & Hall/CRC financial mathematics series
504 $a Includes bibliographical references (p. 427-439) and index.
505 0 $a Option pricing in a nutshell -- Monte Carlo -- 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.
650 0 $a Options (Finance) $x Prices $x Mathematical models. $3 688603
650 0 $a Nonlinear pricing $x Mathematical models. $3 2184959
650 0 $a Business mathematics. $3 625055
700 1 $a Henry-Labordère, Pierre. $3 2184958
830 0 $a Chapman & Hall/CRC financial mathematics series. $3 1602393