00000cam a22000007a 4500 UP-99796217613056837 Buklod 20190620155530.0 m |o d | ta 140530s2014 flua rb |001 0|eng d 9781466570337 (hbk.) (iLib)UPD-00405465984 DLC DSTC rda eng HG 6042 G89 2014 Guyon, Julien, author. Nonlinear option pricing Julien Guyon, Pierre Henry-Labordère. Boca Raton, Florida CRC Press 2014. xxxviii, 445 pages illustrations 24 cm text rdacontent still image rdacontent unmediated rdamedia volume rdacarrier Chapman & Hall/CRC financial mathematics series. Includes bibliographical references and index. 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. Options (Finance)--Prices--Mathematical models. Nonlinear pricing--Mathematical models. Business mathematics. FO Monograph UPD DSTC HG 6042 G89 2014 Book