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|a Nonlinear models in mathematical finance :
|b new research trends in option pricing /
|c Matthias Ehrhardt, editor.
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| 260 |
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|a New York :
|b Nova Science Publishers,
|c ©2008.
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| 300 |
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|a 1 online resource (xiii, 358 pages) :
|b illustrations (some color)
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| 336 |
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|b txt
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|a computer
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|a Includes bibliographical references and index.
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0 |
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|a NONLINEAR MODELSIN MATHEMATICAL FINANCE:NEW RESEARCH TRENDSIN OPTION PRICING; NONLINEAR MODELSIN MATHEMATICAL FINANCE:NEW RESEARCH TRENDSIN OPTION PRICING; CONTENTS; PREFACE NONLINEAR MODELS IN OPTION PRICING; ABSTRACT; INTRODUCTION; PART I: NONLINEAR BLACK-SCHOLES MODELS; PART II: ANALYTIC SOLUTIONS; PART III: NUMERICAL TREATMENT OF NONLINEAR BLACK-SCHOLES EQUATIONS; PART IV: PARAMETER IDENTIFICATION (INVERSE PROBLEMS); NONLINEAR MODELS IN OPTION PRICING -- AN INTRODUCTION; Abstract; 1. Introduction; 2. Financial Derivatives; 3. Linear Black-Scholes Equations; 4. Nonlinear Black-Scholes Equations.
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| 505 |
8 |
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|a 5. Terminal and Boundary Conditions6. Volatility Models; Conclusion; Acknowledgements; Appendix; A. Stochastics; B. Pricing Formulae; References; PART I. NONLINEAR BLACK-SCHOLES MODELS; OPTION PRICING AND HEDGING IN THE PRESENCE OF TRANSACTION COSTS AND NONLINEAR PARTIAL DIFFERENTIAL EQUATIONS; Abstract; 1. Introduction; 2. Modelling the Transaction Costs; 3. The Leland's Approach to Option Pricing and Hedging; 4. Utility-Based Option Pricing and Hedging; 5. Conclusion; Acknowledgements; References; UTILITY INDIFFERENCE PRICING WITH MARKET INCOMPLETENESS; Abstract; 1. Introduction.
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| 505 |
8 |
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|a 2. Utility-Based Pricing and Hedging: The General Set-up3. Basis Risk Model; 4. Partial Information Basis Risk Model; Conclusion; Acknowledgements; References; PART II. ANALYTIC SOLUTIONS; PRICING OPTIONS IN ILLIQUID MARKETS: SYMMETRY REDUCTIONS AND EXACT SOLUTIONS; Abstract; 1. Introduction; 2. Illiquid Markets and Nonlinear Black-Scholes Equations; 3. Invariant Solutions for a Nonlinear Black-Scholes Equation; 4. Properties of Solutions and Parameter-Sensitivity; Conclusion; Acknowledgements; References.
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| 505 |
8 |
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|a DISTRIBUTIONAL SOLUTIONS TO AN INTEGRO-DIFFERENTIAL PARABOLIC PROBLEM ARISING IN FINANCIAL MATHEMATICSAbstract; 1. Introduction; 2. Solutions for the Integro-Differential Problem (3); 3. Solutions for the Convolution Problem (8); Acknowledgements; References; PART III. NUMERICAL TREATMENT OF NONLINEARBLACK-SCHOLES EQUATIONS; A SEMIDISCRETIZATION METHOD FOR SOLVING NONLINEAR BLACK-SCHOLES EQUATIONS: NUMERICAL ANALYSIS AND COMPUTING; Abstract; 1. Introduction; 2. Numerical Schemes Construction; 3. Numerical Analysis about Local in Time Models; 4. Numerical Analysis about Global in Time Models.
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8 |
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|a ConclusionAcknowledgements; References; TRANSFORMATION METHODS FOR EVALUATING APPROXIMATIONS TO THE OPTIMAL EXERCISE BOUNDARY FOR LINEAR AND NONLINEAR BLACK-SCHOLES EQUATIONS; Abstract; 1. Introduction; 2. Risk Adjusted Methodology Model; 3. Transformation Method for a Linear Black-Scholes Equa-tion; 4. Transformation Method for a Nonlinear Black-Scholes Equation; 5. Transformation Methods for Asian Call Options; Conclusion; Acknowledgements; References; GLOBAL IN SPACE NUMERICAL COMPUTATION FOR THE NONLINEAR BLACK-SCHOLES EQUATION; Abstract; 1. Introduction; 2. Transaction Costs Model.
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| 650 |
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0 |
|a Options (Finance)
|x Prices
|x Mathematical models.
|
| 650 |
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0 |
|a Investments
|x Mathematical models.
|0 http://id.loc.gov/authorities/subjects/sh85067718
|
| 650 |
|
7 |
|a BUSINESS & ECONOMICS
|x Investments & Securities
|x General.
|2 bisacsh
|
| 650 |
|
7 |
|a Investments
|x Mathematical models.
|2 fast
|0 (OCoLC)fst00978277
|
| 650 |
|
7 |
|a Options (Finance)
|x Prices
|x Mathematical models.
|2 fast
|0 (OCoLC)fst01046902
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0 |
|a Electronic books.
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4 |
|a Electronic books.
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1 |
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|a Ehrhardt, Matthias.
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|i Print version:
|t Nonlinear models in mathematical finance.
|d New York : Nova Science Publishers, ©2008
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