Nonlinear Option Pricing

Nonlinear Option Pricing
Author: Julien Guyon
Publisher: CRC Press
Total Pages: 480
Release: 2013-12-19
Genre: Business & Economics
ISBN: 1466570342


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New Tools to Solve Your Option Pricing ProblemsFor 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 hi


Nonlinear Option Pricing
Language: en
Pages: 480
Authors: Julien Guyon
Categories: Business & Economics
Type: BOOK - Published: 2013-12-19 - Publisher: CRC Press

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New Tools to Solve Your Option Pricing ProblemsFor nonlinear PDEs encountered in quantitative finance, advanced probabilistic methods are needed to address dime
Nonlinear Option Pricing
Language: en
Pages: 486
Authors: Julien Guyon
Categories: Business & Economics
Type: BOOK - Published: 2013-12-19 - Publisher: CRC Press

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New Tools to Solve Your Option Pricing Problems For nonlinear PDEs encountered in quantitative finance, advanced probabilistic methods are needed to address dim
Nonlinear Pricing
Language: en
Pages: 446
Authors: Robert B. Wilson
Categories: Business & Economics
Type: BOOK - Published: 1993 - Publisher: Oxford University Press, USA

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What do phone rates, frequent flyer programs, and railroad tariffs all have in common? They are all examples of nonlinear pricing. Pricing is nonlinear when it
Nonlinear Valuation and Non-Gaussian Risks in Finance
Language: en
Pages: 283
Authors: Dilip B. Madan
Categories: Mathematics
Type: BOOK - Published: 2022-02-03 - Publisher: Cambridge University Press

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Explore how market valuation must abandon linearity to deliver efficient resource allocation.
PDE and Martingale Methods in Option Pricing
Language: en
Pages: 727
Authors: Andrea Pascucci
Categories: Mathematics
Type: BOOK - Published: 2011-04-15 - Publisher: Springer Science & Business Media

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This book offers an introduction to the mathematical, probabilistic and numerical methods used in the modern theory of option pricing. The text is designed for