Towards Efficient Nonlinear Option Pricing
Author | : Shih-Hau Tan |
Publisher | : |
Total Pages | : |
Release | : 2018 |
Genre | : |
ISBN | : |
Download Towards Efficient Nonlinear Option Pricing Book in PDF, ePub and Kindle
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Towards Efficient Nonlinear Option Pricing PDF full book. Access full book title Towards Efficient Nonlinear Option Pricing.
Author | : Shih-Hau Tan |
Publisher | : |
Total Pages | : |
Release | : 2018 |
Genre | : |
ISBN | : |
Author | : Julien Guyon |
Publisher | : CRC Press |
Total Pages | : 486 |
Release | : 2013-12-19 |
Genre | : Business & Economics |
ISBN | : 1466570334 |
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.
Author | : Jeffrey Owen Katz |
Publisher | : McGraw Hill Professional |
Total Pages | : 449 |
Release | : 2005-03-21 |
Genre | : Business & Economics |
ISBN | : 0071454705 |
Advanced Option Pricing Models details specific conditions under which current option pricing models fail to provide accurate price estimates and then shows option traders how to construct improved models for better pricing in a wider range of market conditions. Model-building steps cover options pricing under conditional or marginal distributions, using polynomial approximations and “curve fitting,” and compensating for mean reversion. The authors also develop effective prototype models that can be put to immediate use, with real-time examples of the models in action.
Author | : Robert B. Wilson |
Publisher | : Oxford University Press, USA |
Total Pages | : 446 |
Release | : 1993 |
Genre | : Business & Economics |
ISBN | : 9780195115826 |
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 is not strictly proportional to the quantity purchased. The Electric Power Research Institute has commissioned Robert Wilson to review the various facets of nonlinear pricing. The work starts with a general non-mathematical discussion, followed by a more technical presentation intended for readers with a fairly advanced background. Thorough and detailed, this study has ample examples of case studies from a variety of industries.
Author | : David Pooley |
Publisher | : |
Total Pages | : |
Release | : 2006 |
Genre | : |
ISBN | : |
Author | : Matthias Ehrhardt |
Publisher | : Nova Science Pub Incorporated |
Total Pages | : 360 |
Release | : 2008 |
Genre | : Mathematics |
ISBN | : 9781604569315 |
This book provides an overview on the current state-of-the-art research on non-linear option pricing. Non-linear models are becoming more and more important since they take into account many effects that are not included in the linear model. However, in practice (i.e. in banks) linear models are still used, giving rise to large errors in computing the fair price of options. Hence, there exists a noticeable need for non-linear modelling of financial products. This book will help to foster the usage of non-linear Black-Scholes models in practice.
Author | : Dilip B. Madan |
Publisher | : Cambridge University Press |
Total Pages | : 283 |
Release | : 2022-02-03 |
Genre | : Mathematics |
ISBN | : 1316518094 |
Explore how market valuation must abandon linearity to deliver efficient resource allocation.
Author | : Subhash C. Ray |
Publisher | : Springer Nature |
Total Pages | : 1797 |
Release | : 2022-06-02 |
Genre | : Business & Economics |
ISBN | : 9811034559 |
This three-volume handbook includes state-of-the-art surveys in different areas of neoclassical production economics. Volumes 1 and 2 cover theoretical and methodological issues only. Volume 3 includes surveys of empirical applications in different areas like manufacturing, agriculture, banking, energy and environment, and so forth.
Author | : Vladimir G. Ivancevic |
Publisher | : World Scientific |
Total Pages | : 855 |
Release | : 2008 |
Genre | : Science |
ISBN | : 9812819282 |
This is a unique 21st-century monograph that reveals a basic, yet deep understanding of the universe, as well as the human mind and body OCo all from the perspective of quantum mechanics and quantum field theory.This book starts with both non-mathematical and mathematical preliminaries. It presents the basics of both non-relativistic and relativistic quantum mechanics, and introduces Feynman path integrals and their application to quantum fields and string theory, as well as some non-quantum applications. It then describes the quantum universe in the form of loop quantum gravity and quantum cosmology. Lastly, the book turns to the human body and mind, applying quantum theory to electro-muscular stimulation and consciousness.It can be used as a graduate (or advanced undergraduate) textbook for a two-semester course in quantum physics and its modern applications. Some parts of the book can also be used by engineers, biologists, psychologists and computer scientists, as well as applied mathematicians, both in industry and academia."
Author | : Amitav Mallik |
Publisher | : Allied Publishers |
Total Pages | : 494 |
Release | : 1999 |
Genre | : |
ISBN | : 9788170239932 |