Nonlinear Option Pricing PDF Download
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Author | : Julien Guyon |
Publisher | : CRC Press |
Total Pages | : 480 |
Release | : 2013-12-19 |
Genre | : Business & Economics |
ISBN | : 1466570342 |
Download Nonlinear Option Pricing Book in PDF, ePub and Kindle
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
Author | : Julien Guyon |
Publisher | : CRC Press |
Total Pages | : 486 |
Release | : 2013-12-19 |
Genre | : Business & Economics |
ISBN | : 1466570334 |
Download Nonlinear Option Pricing Book in PDF, ePub and Kindle
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 | : Shih-Hau Tan |
Publisher | : |
Total Pages | : |
Release | : 2018 |
Genre | : |
ISBN | : |
Download Towards Efficient Nonlinear Option Pricing Book in PDF, ePub and Kindle
Author | : Matthias Ehrhardt |
Publisher | : Nova Science Pub Incorporated |
Total Pages | : 360 |
Release | : 2008 |
Genre | : Mathematics |
ISBN | : 9781604569315 |
Download Nonlinear Models in Mathematical Finance Book in PDF, ePub and Kindle
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 | : Matthias Ehrhardt |
Publisher | : |
Total Pages | : 20 |
Release | : 2008 |
Genre | : |
ISBN | : |
Download Nonlinear Models in Option Pricing Book in PDF, ePub and Kindle
Author | : David Pooley |
Publisher | : |
Total Pages | : |
Release | : 2006 |
Genre | : |
ISBN | : |
Download Numerical Methods for Nonlinear Equations in Option Pricing Book in PDF, ePub and Kindle
Author | : Dilip B. Madan |
Publisher | : Cambridge University Press |
Total Pages | : 283 |
Release | : 2022-02-03 |
Genre | : Mathematics |
ISBN | : 1316518094 |
Download Nonlinear Valuation and Non-Gaussian Risks in Finance Book in PDF, ePub and Kindle
Explore how market valuation must abandon linearity to deliver efficient resource allocation.
Author | : Radoslav Valkov |
Publisher | : |
Total Pages | : 132 |
Release | : 2016 |
Genre | : |
ISBN | : |
Download Numerical Analysis of Nonlinear PDEs in Option Pricing Book in PDF, ePub and Kindle
Author | : Andrzej Ruszczynski |
Publisher | : Princeton University Press |
Total Pages | : 463 |
Release | : 2011-09-19 |
Genre | : Mathematics |
ISBN | : 1400841054 |
Download Nonlinear Optimization Book in PDF, ePub and Kindle
Optimization is one of the most important areas of modern applied mathematics, with applications in fields from engineering and economics to finance, statistics, management science, and medicine. While many books have addressed its various aspects, Nonlinear Optimization is the first comprehensive treatment that will allow graduate students and researchers to understand its modern ideas, principles, and methods within a reasonable time, but without sacrificing mathematical precision. Andrzej Ruszczynski, a leading expert in the optimization of nonlinear stochastic systems, integrates the theory and the methods of nonlinear optimization in a unified, clear, and mathematically rigorous fashion, with detailed and easy-to-follow proofs illustrated by numerous examples and figures. The book covers convex analysis, the theory of optimality conditions, duality theory, and numerical methods for solving unconstrained and constrained optimization problems. It addresses not only classical material but also modern topics such as optimality conditions and numerical methods for problems involving nondifferentiable functions, semidefinite programming, metric regularity and stability theory of set-constrained systems, and sensitivity analysis of optimization problems. Based on a decade's worth of notes the author compiled in successfully teaching the subject, this book will help readers to understand the mathematical foundations of the modern theory and methods of nonlinear optimization and to analyze new problems, develop optimality theory for them, and choose or construct numerical solution methods. It is a must for anyone seriously interested in optimization.
Author | : Jeffrey Owen Katz |
Publisher | : McGraw Hill Professional |
Total Pages | : 449 |
Release | : 2005-03-21 |
Genre | : Business & Economics |
ISBN | : 0071454705 |
Download Advanced Option Pricing Models Book in PDF, ePub and Kindle
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.