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Nonlinear Pricing Methods in Quantitative Finance, Guyon


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Цена: 27562.00р.
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Ориентировочная дата поставки: Август-начало Сентября

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Автор: Guyon
Название:  Nonlinear Pricing Methods in Quantitative Finance
Перевод названия: Гуон: Нелинейные методы ценообразования в количественных финансах
ISBN: 9781466570337
Издательство: Taylor&Francis
Классификация:


ISBN-10: 1466570334
Обложка/Формат: Hardback
Страницы: 484
Вес: 0.84 кг.
Дата издания: 12.02.2014
Серия: Chapman and hall/crc financial mathematics series
Язык: English
Иллюстрации: 55 tables, black and white; 55 illustrations, black and white
Размер: 243 x 164 x 27
Читательская аудитория: Tertiary education (us: college)
Ключевые слова: Applied mathematics, BUSINESS & ECONOMICS / Finance,MATHEMATICS / General,MATHEMATICS / Probability & Statistics / General
Ссылка на Издательство: Link
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Поставляется из: Европейский союз
Описание:

New Tools to Solve Your Option Pricing Problems

For nonlinear PDEs encountered in quantitative finance, advanced probabilistic methods are needed to address dimensionality issues. Written by two leaders in quantitative research--including Risk magazines 2013 Quant of the Year--Nonlinear Option Pricing compares various numerical methods for solving high-dimensional nonlinear problems arising in option pricing. Designed for practitioners, it is the first authored book to discuss nonlinear Black-Scholes PDEs and compare the efficiency of many different methods.

Real-World Solutions for Quantitative Analysts

The book helps quants develop both their analytical and numerical expertise. It focuses on general mathematical tools rather than specific financial questions so that readers can easily use the tools to solve their own nonlinear problems. The authors build intuition through numerous real-world examples of numerical implementation. Although the focus is on ideas and numerical examples, the authors introduce relevant mathematical notions and important results and proofs. The book also covers several original approaches, including regression methods and dual methods for pricing chooser options, Monte Carlo approaches for pricing in the uncertain volatility model and the uncertain lapse and mortality model, the Markovian projection method and the particle method for calibrating local stochastic volatility models to market prices of vanilla options with/without stochastic interest rates, the a + bλ technique for building local correlation models that calibrate to market prices of vanilla options on a basket, and a new stochastic representation of nonlinear PDE solutions based on marked branching diffusions.




Market Risk Analysis : Quantitative Methods in Finance, Volume 1

Автор: Alexander
Название: Market Risk Analysis : Quantitative Methods in Finance, Volume 1
ISBN: 0470998008 ISBN-13(EAN): 9780470998007
Издательство: Wiley
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Цена: 7445.00 р.
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Описание: Written by leading market risk academic, Professor Carol Alexander, Quantitative Methods in Finance forms part one of the Market Risk Analysis four volume set.

Quantitative finance

Автор: Epps, T.wake
Название: Quantitative finance
ISBN: 0470431997 ISBN-13(EAN): 9780470431993
Издательство: Wiley
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Цена: 21218.00 р.
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Описание: This book presents a course in quantitative finance, including exercises and worked solutions. It emphasizes instruction and technique in covering the essential topics for a quantitative finance survey course: portfolio theory, decision theory, pricing of primary assets, pricing of derivatives, and the empirical behavior of prices.

Averaging Methods in Nonlinear Dynamical Systems

Автор: Sanders J. A., Verhulst F., Murdock J.
Название: Averaging Methods in Nonlinear Dynamical Systems
ISBN: 0387489169 ISBN-13(EAN): 9780387489162
Издательство: Springer
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Цена: 16769.00 р.
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Описание: Perturbation theory and in particular normal form theory has shown strong growth during the last decades. So it is not surprising that the authors have presented an extensive revision of the first edition of the Averaging Methods in Nonlinear Dynamical Systems book. There are many changes, corrections and updates in chapters on Basic Material and Asymptotics, Averaging, and Attraction. Chapters on Periodic Averaging and Hyperbolicity, Classical (first level) Normal Form Theory, Nilpotent (classical) Normal Form, and Higher Level Normal Form Theory are entirely new and represent new insights in averaging, in particular its relation with dynamical systems and the theory of normal forms. Also new are surveys on invariant manifolds in Appendix C and averaging for PDEs in Appendix E. Since the first edition, the book has expanded in length and the third author, James Murdock has been added.Review of First Edition"One of the most striking features of the book is the nice collection of examples, which range from the very simple to some that are elaborate, realistic, and of considerable practical importance. Most of them are presented in careful detail and are illustrated with profuse, illuminating diagrams." - Mathematical Reviews

Paul Wilmott Introduces Quantitative Finance 2e +CD

Автор: Wilmott
Название: Paul Wilmott Introduces Quantitative Finance 2e +CD
ISBN: 0470319585 ISBN-13(EAN): 9780470319581
Издательство: Wiley
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Цена: 8712.00 р.
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Описание: Paul Wilmott Introduces Quantitative Finance, Second Edition is an accessible introduction to the classical side of quantitative finance specifically for university students.

Frequently asked questions in quantitative finance

Автор: Wilmott, Paul P.
Название: Frequently asked questions in quantitative finance
ISBN: 0470748753 ISBN-13(EAN): 9780470748756
Издательство: Wiley
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Цена: 5544.00 р.
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Описание: Quantitative finance is the most fascinating and rewarding real-world application of mathematics. It is fascinating because of the speed at which the subject develops the new products and the new models which we have to understand. And it is rewarding because anyone can make a fundamental breakthrough.

Implementing Models in Quantitative Finance: Methods and Cases

Автор: Fusai
Название: Implementing Models in Quantitative Finance: Methods and Cases
ISBN: 3540223487 ISBN-13(EAN): 9783540223481
Издательство: Springer
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Цена: 18167.00 р.
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Описание: This book puts numerical methods in action for the purpose of solving practical problems arising in quantitative finance. Part one develops a comprehensive toolkit including Monte Carlo simulation, numerical schemes for partial differential equations, stochastic optimization in discrete time, copula functions, Laplace transforms and quadrature methods. Part two proposes eighteen self-contained cases covering model simulation, derivative valuation, dynamic hedging, portfolio selection, risk management, statistical estimation and calibration. It encompasses a wide variety of problems arising in markets for equity, interest rates, credit risk, energy and exotic derivatives. Each case introduces a problem, develops a detailed solution and illustrates empirical results. Proposed algorithms are implemented using either Matlab or Visual Basic. The book originates from class notes and case-studies developed within courses on Numerical Methods for Finance and Exotic Derivatives held by the authors at Bocconi University since the year 2000.

An Introduction to Quantitative Finance

Автор: Blyth, Stephen
Название: An Introduction to Quantitative Finance
ISBN: 019966658X ISBN-13(EAN): 9780199666584
Издательство: Oxford Academ
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Цена: 10138.00 р.
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Описание: The quantitative nature of complex financial transactions makes them a fascinating subject area for mathematicians of all types. This book gives an insight into financial engineering while building on introductory probability courses by detailing one of the most fascinating applications of the subject.

Financial Statistics and Mathematical Finance: Methods, Models and Applications

Автор: Steland
Название: Financial Statistics and Mathematical Finance: Methods, Models and Applications
ISBN: 0470710586 ISBN-13(EAN): 9780470710586
Издательство: Wiley
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Цена: 10217.00 р.
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Описание: *Provides an introduction to the basics of financial statistics and mathematical finance.


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