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Nonlinear option pricing

By: Guyon, Julien.
Contributor(s): Henry-Labordere, Pierre.
Material type: materialTypeLabelBookSeries: Publisher: Boca Raton CRC Press 2014Description: xxxviii, 445 p.ISBN: 9781466570337.Subject(s): Options (Finance) - Prices - Mathematical models | Nonlinear pricing - Mathematical models | Business mathematicsDDC classification: 332.6453 Summary: 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. (http://www.crcpress.com/product/isbn/9781466570337)
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Books Vikram Sarabhai Library
Slot 717 (0 Floor, West Wing) Non-fiction 332.6453 G8N6 (Browse shelf) Available 188562

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.
(http://www.crcpress.com/product/isbn/9781466570337)

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