1# Library to Find Best eBook for Read
Author : Shih-Hau Tan
Release : 2018
Genre :
Kind : eBook
Book Rating : /5 ( reviews)
Book Synopsis Towards Efficient Nonlinear Option Pricing by : Shih-Hau Tan
Download or read book Towards Efficient Nonlinear Option Pricing written by Shih-Hau Tan. This book was released on 2018. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Julien Guyon
Release : 2013-12-19
Genre : Business & Economics
Kind : eBook
Book Rating : 334/5 ( reviews)
Book Synopsis Nonlinear Option Pricing by : Julien Guyon
Download or read book Nonlinear Option Pricing written by Julien Guyon. This book was released on 2013-12-19. Available in PDF, EPUB and Kindle. Book excerpt: 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
Release : 2005-03-21
Genre : Business & Economics
Kind : eBook
Book Rating : 705/5 ( reviews)
Book Synopsis Advanced Option Pricing Models by : Jeffrey Owen Katz
Download or read book Advanced Option Pricing Models written by Jeffrey Owen Katz. This book was released on 2005-03-21. Available in PDF, EPUB and Kindle. Book excerpt: 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
Release : 1993
Genre : Business & Economics
Kind : eBook
Book Rating : 826/5 ( reviews)
Book Synopsis Nonlinear Pricing by : Robert B. Wilson
Download or read book Nonlinear Pricing written by Robert B. Wilson. This book was released on 1993. Available in PDF, EPUB and Kindle. Book excerpt: 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 : Carl Chiarella
Release : 2014-10-14
Genre : Options (Finance)
Kind : eBook
Book Rating : 629/5 ( reviews)
Book Synopsis The Numerical Solution of the American Option Pricing Problem by : Carl Chiarella
Download or read book The Numerical Solution of the American Option Pricing Problem written by Carl Chiarella. This book was released on 2014-10-14. Available in PDF, EPUB and Kindle. Book excerpt: The early exercise opportunity of an American option makes it challenging to price and an array of approaches have been proposed in the vast literature on this topic. In The Numerical Solution of the American Option Pricing Problem, Carl Chiarella, Boda Kang and Gunter Meyer focus on two numerical approaches that have proved useful for finding all prices, hedge ratios and early exercise boundaries of an American option. One is a finite difference approach which is based on the numerical solution of the partial differential equations with the free boundary problem arising in American option pricing, including the method of lines, the component wise splitting and the finite difference with PSOR. The other approach is the integral transform approach which includes Fourier or Fourier Cosine transforms. Written in a concise and systematic manner, Chiarella, Kang and Meyer explain and demonstrate the advantages and limitations of each of them based on their and their co-workers'' experiences with these approaches over the years. Contents: Introduction; The Merton and Heston Model for a Call; American Call Options under Jump-Diffusion Processes; American Option Prices under Stochastic Volatility and Jump-Diffusion Dynamics OCo The Transform Approach; Representation and Numerical Approximation of American Option Prices under Heston; Fourier Cosine Expansion Approach; A Numerical Approach to Pricing American Call Options under SVJD; Conclusion; Bibliography; Index; About the Authors. Readership: Post-graduates/ Researchers in finance and applied mathematics with interest in numerical methods for American option pricing; mathematicians/physicists doing applied research in option pricing. Key Features: Complete discussion of different numerical methods for American options; Able to handle stochastic volatility and/or jump diffusion dynamics; Able to produce hedge ratios efficiently and accurately"
