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Bibframe Work

Title
Nonlinear option pricing
Type
Text
Monograph
Contribution
Guyon, Julien (Author)
Henry-Labordère, Pierre (Author)
Subject
Options (Finance)--Prices--Mathematical models (LCSH)
Nonlinear pricing--Mathematical models (LCSH)
Business mathematics (LCSH)
Optionspreistheorie (GND)
Nichtlineare partielle Differentialgleichung (GND)
Stochastische Differentialgleichung (GND)
Finanzmathematik (GND)
Language
English
Illustrative Content
Illustrations
Classification
DDC: 332.64 full (Source: 23)
31.73 (Source: bcl)
83.03 (Source: bcl)
LCC: HG6042 .G89 2014 (Assigner: dlc) (Status: used by assigner)
Supplementary Content
bibliography
index
Content
text
still image
Table Of Contents
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.
Authorized Access Point
Guyon, Julien Nonlinear option pricing
Admin Metadata
Generation Process: DLC marc2bibframe2 v2.5.0
Status: changed
Encoding Level: minimal
Identified By: bf:Local, 18142895 bf:Local, 016444061
Change Date: 2016-10-05T11:47:22
Creation Date: 2014-05-07
Description Language: English
Description Modifier: United States, Library of Congress
Description Authentication: LC Copy Cataloging
Assigner: UKMGB