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 evčovič, 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 |