Nonlinear models in mathematical finance : new research trends in option pricing
著者
書誌事項
Nonlinear models in mathematical finance : new research trends in option pricing
Nova Science Publishers, c2008
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注記
Includes bibliographical references and index
Some copies have different pagination: xiii, 358 p.
内容説明・目次
内容説明
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.
目次
- Introduction:
- Option Pricing and Hedging in the Presence of Transaction Costs and Nonlinear Partial Differential Equations
- Utility indifference pricing with market incompleteness
- Pricing options in illiquid markets: symmetry reductions and exact solutions
- Distributional solutions to an integro-differential parabolic problem arising on Financial Mathematics
- A semidiscretisation method for solving nonlinear Black-Scholes equations: numerical analysis and computing
- Transformation methods for evaluating approximations to the optimal exercise boundary for a linear and nonlinear Black-Scholes equation
- Global in space numerical computation for the nonlinear Black-Scholes equation
- Fixed domain transformations and Split-Step Finite Difference schemes for Nonlinear Black-Scholes equations for American Options
- Pricing Hydroelectric Power Plants with/without Operational Restrictions: a Stochastic Control Approach
- Numerical solutions of certain nonlinear models in European options on a distributed computing environment
- Calibration problems in option pricing
- A semi-discretisation method for solving nonlinear Black-Scholes equations: numerical analysis and computing.
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