Nova Publishers
My Account Nova Publishers Shopping Cart
HomeBooksSeriesJournalsReference CollectionseBooksInformationSalesImprintsFor Authors
  Top » Catalog » Books » Mathematics and Statistics » My Account  |  Cart Contents  |  Checkout   
Quick Find
Use keywords to find the product you are looking for.
Advanced Search
What's New? more
The Eurozone Enlargement: Prospect of New EU Member States for Euro Adoption
Shopping Cart more
0 items
Shipping & Returns
Privacy Notice
Conditions of Use
Contact Us
01.Algebra for Athletes 2nd Edition
02.Dynamic Fuzzy Logic and its Applications
03.Advanced Mathematics for Engineers with Applications in Stochastic Processes
04.Advanced Mathematics for Engineers with Applications in Stochastic Processes
05.How to Solve Problems: New Methods and Ideas
06.Introduction to Graph and Hypergraph Theory
07.Engineering Perspectives of Human Society: Application of Control Theory, Game Theory, and Information Theory to Social Phenomena
08.Nonlinear Models in Mathematical Finance: New Research Trends in Option Pricing
09.The Mathematics of the Periodic Table
10.Progress in Neurocomputing Research
Notifications more
NotificationsNotify me of updates to Nonlinear Models in Mathematical Finance: New Research Trends in Option Pricing
Tell A Friend
Tell someone you know about this product.
Nonlinear Models in Mathematical Finance: New Research Trends in Option Pricing
Retail Price: $110.00
10% Online Discount
You Pay:

Editors: Matthias Ehrhardt (Technical Univ., Berlin)
Book Description:
This book provides an overview on the current state-of-the-art research on nonlinear option pricing. Nonlinear models are becoming more and more important since they take into account many effects that are not included in the linear model. However, in practice (i.e. in banks) linear models are still used, giving rise to large errors in computing the fair price of options. Hence, there exists a noticeable need for nonlinear modeling of financial products. This book will help to foster the usuage of nonlinear Black-Scholes models in practice.

Table of Contents:
Introduction: Nonlinear Models in Option Pricing - An Introduction;pp. 1-19
(Matthias Ehrhardt, Technical Univ., Berlin)

Part I: Nonlinear Black-Scholes Models;pp. 21

Chapter 1: Option Pricing and Hedging in the Presence of Transaction Costs and Nonlinear Partial Differential Equations;pp. 23-65
(Valeri Zakamouline, Faculty of Economics, University of Agder, Kristiansand, Norway)

Chapter 2: Utility indifference pricing with market incompletness;pp. 67-100
(Michael Monoyios, Mathematical Institute, University of Oxford, Oxford, United Kingdom)

Part II: Analytic Solutions;pp. 101

Chapter 3: Pricing options in illiquid markets: symmetry reductions and exact solutions;pp. 103-130
(Ljudmila A. Bordag, Halmstad University, Halmstad, Sweden and Rüdiger Frey, Department of Mathematics, Universität Leipzig, Germany)

Chapter 4: Distributional solutions to an integro-differential parabolic problem arising on Financial Mathematics;pp. 131-146
(Maria C. Mariani and Michael Eydenberg, New Mexico State Univ. USA)

Part III: Numerical Treatment of Nonlinear Black-Scholes equations;pp. 147

Chapter 5: A semidiscretization method for solving nonlinear Black-Scholes equations: numerical analysis and computing;pp. 149-171
(Lucas Jódar, Rafael Company and José Ramón Pintos, Instituto de Matemática Multidisciplinar, Universidad Politécnica de Valencia, Valencia. Spain)

Chapter 6: Transformation methods for evaluating approximations to the optimal exercise boundary for a linear and nonlinear Black-Scholes equatio;pp. 173-218
(Daniel Ševčovič, Department of Applied Mathematics and Statistics, Division of Applied Mathematics, Comenius University,Bratislava, Slovakia)

Chapter 7: Global in space numerical computation for the nonlinear Black-Scholes equation;pp. 219-242
(Naoyuki Ishimura, Graduate School of Economics, Hitotsubashi University, Kunitachi, Tokyo, Japan and Hitoshi Imai, Institute of Technology and Science, University of Tokushima, Tokushima, Japan)

Chapter 8: Fixed domain transformations and Split-Step Finite Difference schemes for Nonlinear Black-Scholes equations for American Options;pp. 243-273
(Julia Ankudinova and Matthias Ehrhardt, Institute for Mathematics, TU Berlin, Germany)

Chapter 9: Pricing Hydroelectric Power Plants with/without Operational Restrictions: a Stochastic Control Approach;pp. 275-304
(Zhuliang Chen and Peter Forsyth, Cheriton School of Computer Science, University of Waterloo, Waterloo, Canada)

Chapter 10: Numerical solutions of certain nonlinear models in European options on a distributed computing environment;pp. 305-320
(Choi-Hong Lai, School of Computing and Mathematical Sciences, University of Greenwich, United Kingdom)

Part IV: Parameter Identification (Inverse Problems);pp. 321

Chapter 11: Calibration Problems in Option Pricing;pp. 323-352
(Bertram Düring, Institute for Analysis and Scientific Computing, Vienna University of Technology, Vienna, Austria)


   Binding: Hardcover
   Pub. Date: 2008, 4th quarter
   Pages: 7 x 10, 360 pp.
   ISBN: 978-1-60456-931-5
   Status: AV
Status Code Description
AN Announcing
FM Formatting
PP Page Proofs
FP Final Production
EP Editorial Production
PR At Prepress
AP At Press
AV Available
Special Focus Titles
01.Adrenal Glands: From Pathophysiology to Clinical Evidence
02.Misperceptions of Intimate Partner Violence in the 21st Century: Two Decades of Lies
03.Mental and Holistic Health: Some International Perspectives
04.Psychiatry Board Review
05.Youth Suicide Prevention: Everybody’s Business
06.Crisis Management: A Leadership Perspective
07.A Difficult World: Examining the Roots of Capitalism
08.From Medicinal Chemistry to Food Science: A Transfer of In Silico Methods Applications
09.Bioactive Compounds in Wine: Recent Advances and Perspectives
10.A Primer for Swimming Coaches. Volume 2: Biomechanical Foundations
11.Microbiological Food Hygiene
12.Forest Plantation Development and Management in Ghana

Nova Science Publishers
© Copyright 2004 - 2015

Nonlinear Models in Mathematical Finance: New Research Trends in Option Pricing