Pierre Henry-Labordere's Books

Analysis, Geometry, and Modeling in Finance

Advanced Methods in Option Pricing

By: Pierre Henry-Labordere

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Analysis, Geometry, and Modeling in Finance

Advanced Methods in Option Pricing

By: Pierre Henry-Labordere

Analysis, Geometry, and Modeling in Finance: Advanced Methods in Option Pricing is the first book that applies advanced analytical and geometrical methods used in physics and mathematics to the financial field. It even obtains new results when only approximate and partial solutions were previously available.Through the problem of option pricing, th

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Page Count

403

Publisher

CRC Press

Published Date

ISBN 10

1420087002

ISBN 13

9781420087000

Nonlinear Option Pricing

By: Julien Guyon,Pierre Henry-Labordere

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Nonlinear Option Pricing

By: Julien Guyon,Pierre Henry-Labordere

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 magazine’s 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.

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Page Count

486

Publisher

CRC Press

Published Date

ISBN 10

1466570334

ISBN 13

9781466570337

Model-free Hedging

A Martingale Optimal Transport Viewpoint

By: Pierre Henry-Labordere

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Model-free Hedging

A Martingale Optimal Transport Viewpoint

By: Pierre Henry-Labordere

Model-free Hedging: A Martingale Optimal Transport Viewpoint focuses on the computation of model-independent bounds for exotic options consistent with market prices of liquid instruments such as Vanilla options. The author gives an overview of Martingale Optimal Transport, highlighting the differences between the optimal transport and its martingale counterpart. This topic is then discussed in the context of mathematical finance.

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Page Count

159

Publisher

CRC Press

Published Date

ISBN 10

1351666223

ISBN 13

9781351666220

Model-free Hedging

A Martingale Optimal Transport Viewpoint

By: Pierre Henry-Labordere

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Model-free Hedging

A Martingale Optimal Transport Viewpoint

By: Pierre Henry-Labordere

Annotation Model-free Hedging: A Martingale Optimal Transport Viewpoint focuses on the computation of model-independent bounds for exotic options consistent with market prices of liquid instruments such as Vanilla options. The author gives an overview of Martingale Optimal Transport, highlighting the differences between the optimal transport and its martingale counterpart. This topic is then discussed in the context of mathematical finance.

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Page Count

205

Published Date

ISBN 10

1351666215

ISBN 13

9781351666213

Book's by Pierre Henry-Labordere

Analysis, Geometry, and Modeling in Finance

Analysis, Geometry, and Modeling in Finance

Nonlinear Option Pricing

Nonlinear Option Pricing

Model-free Hedging

Model-free Hedging

Model-free Hedging

Model-free Hedging

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