Nonlinear option pricing - Guyon, Julien, author (Boca Raton, Florida CRC Press, 2014)
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.
Includes bibliographical references and index.
Keywords: Options (Finance)--Prices--Mathematical models; Nonlinear pricing--Mathematical models; Business mathematics