Nonlinear models in mathematical finance: new research trends in option pricing
Gespeichert in:
| Weitere Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
New York, NY
Nova Science Publ.
2008
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XIII, 358 S. Ill., graph. Darst. |
| ISBN: | 9781604569315 |
Internformat
MARC
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| 035 | |a (OCoLC)236117370 | ||
| 035 | |a (DE-599)GBV573050767 | ||
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| 245 | 1 | 0 | |a Nonlinear models in mathematical finance |b new research trends in option pricing |c Matthias Ehrhardt, ed. |
| 264 | 1 | |a New York, NY |b Nova Science Publ. |c 2008 | |
| 300 | |a XIII, 358 S. |b Ill., graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 650 | 4 | |a Mathematisches Modell | |
| 650 | 4 | |a Options (Finance) |x Prices |x Mathematical models | |
| 650 | 0 | 7 | |a Finanzmathematik |0 (DE-588)4017195-4 |2 gnd |9 rswk-swf |
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| 700 | 1 | |a Ehrhardt, Matthias |d 1968- |0 (DE-588)12341587X |4 edt | |
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| 999 | |a oai:aleph.bib-bvb.de:BVB01-018596755 | ||
Datensatz im Suchindex
| _version_ | 1804140646918782976 |
|---|---|
| adam_text | Titel: Nonlinear models in mathematical finance
Autor: Ehrhardt, Matthias
Jahr: 2008
Contents
Preface vii
Nonlinear Models in Option Pricing - an Introduction 1
Matthias Ehrhardt
Part I: Nonlinear Black-Scholes Models 21
Chapter 1 Option Pricing and Hedging in the Presence of Transaction 23
Costs and Nonlinear Partial Differential Equations
Valeri Zakamouline
Chapter 2 Utility Indifference Pricing with Market Incompleteness 67
Michael Monoyios
Part II: Analytic Solutions 101
Chapter 3 Pricing Options in Illiquid Markets: Symmetry Reductions 103
and Exact Solutions
LjudmilaA. Bordag and Riidiger Frey
Chapter 4 Distributional Solutions to an Integro-Differentval Parabolic 131
Problem Arising in Financial Mathematics
Maria Christina Mariani and Michael Eydenberg
Part III: Numerical Treatment of Nonlinear 147
Black-Scholes equations
Chapter 5 A Semidiscretization Method for Solving Nonlinear 149
Black-Scholes Equations: Numerical Analysis
and Computing
Lucas Jodar, Rafael Company and Jose Ramon Pintos
Chapter 6 Transformation Methods for Evaluating Approximations 173
to the Optimal Exercise Boundary for Linear and Nonlinear
Black-Scholes Equations
Daniel Sevcovic
vi Contents
Chapter 7 Global in Space Numerical Computation for the Nonlinear Black- 219
Scholes Equation
Naoyuki Ishimura and Hitoshi Imai
Chapter 8 Fixed Domain Transformations and Split-Step Finite Difference 243
Schemes for Nonlinear Black-Scholes Equations for American
Options
Julia Ankudinova and Matthias Ehrhardt
Chapter 9 Pricing Hydroelectric Power Plants with/without Operational 273
Restrictions: A Stochastic Control Approach
Zhuliang Chen and Peter A. Forsyth
Chapter 10 Numerical Solutions of Certain Nonlinear Models in European 303
Options on a Distributed Computing Environment
Choi-Hong Lai
PART IV: PARAMETER IDENTIFICATION (INVERSE PROBLEMS) 319
Chapter 11 Calibration Problems in Option Pricing 321
B. During
Index 351
|
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| building | Verbundindex |
| bvnumber | BV024624989 |
| callnumber-first | H - Social Science |
| callnumber-label | HG6024 |
| callnumber-raw | HG6024.A3 |
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| callnumber-sort | HG 46024 A3 |
| callnumber-subject | HG - Finance |
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| ctrlnum | (OCoLC)236117370 (DE-599)GBV573050767 |
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| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.64/53 |
| dewey-search | 332.64/53 |
| dewey-sort | 3332.64 253 |
| dewey-tens | 330 - Economics |
| discipline | Mathematik Wirtschaftswissenschaften |
| format | Book |
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| id | DE-604.BV024624989 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T22:03:18Z |
| institution | BVB |
| isbn | 9781604569315 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-018596755 |
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| physical | XIII, 358 S. Ill., graph. Darst. |
| publishDate | 2008 |
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| publisher | Nova Science Publ. |
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| spelling | Nonlinear models in mathematical finance new research trends in option pricing Matthias Ehrhardt, ed. New York, NY Nova Science Publ. 2008 XIII, 358 S. Ill., graph. Darst. txt rdacontent n rdamedia nc rdacarrier Mathematisches Modell Options (Finance) Prices Mathematical models Finanzmathematik (DE-588)4017195-4 gnd rswk-swf Finanzmathematik (DE-588)4017195-4 s DE-604 Ehrhardt, Matthias 1968- (DE-588)12341587X edt HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=018596755&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Nonlinear models in mathematical finance new research trends in option pricing Mathematisches Modell Options (Finance) Prices Mathematical models Finanzmathematik (DE-588)4017195-4 gnd |
| subject_GND | (DE-588)4017195-4 |
| title | Nonlinear models in mathematical finance new research trends in option pricing |
| title_auth | Nonlinear models in mathematical finance new research trends in option pricing |
| title_exact_search | Nonlinear models in mathematical finance new research trends in option pricing |
| title_full | Nonlinear models in mathematical finance new research trends in option pricing Matthias Ehrhardt, ed. |
| title_fullStr | Nonlinear models in mathematical finance new research trends in option pricing Matthias Ehrhardt, ed. |
| title_full_unstemmed | Nonlinear models in mathematical finance new research trends in option pricing Matthias Ehrhardt, ed. |
| title_short | Nonlinear models in mathematical finance |
| title_sort | nonlinear models in mathematical finance new research trends in option pricing |
| title_sub | new research trends in option pricing |
| topic | Mathematisches Modell Options (Finance) Prices Mathematical models Finanzmathematik (DE-588)4017195-4 gnd |
| topic_facet | Mathematisches Modell Options (Finance) Prices Mathematical models Finanzmathematik |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=018596755&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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