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

Index

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