Paul Wilmott on quantitative finance. 3 Vols. With CD-ROM
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Publication:3594586
zbMATH Open1127.91002MaRDI QIDQ3594586FDOQ3594586
Authors: Paul Wilmott 
Publication date: 9 August 2007
Recommendations
numerical integrationoption pricingjump diffusionMonte Carlo simulationriskvolatilityreal optionsrisk managementstochastic volatilityBlack-Scholes modelcredit riskdefault riskhedgingbinomial modeldividend paymentuncertain parametersutility theoryderivativesfinite-difference methodsvolatility surfacestochastic calculusquantitative financeexotic optionsstorage costsenergy derivativesMerton modelinterest rate modelingnon-probabilistic interest rate model
Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Microeconomic theory (price theory and economic markets) (91B24) Stochastic models in economics (91B70) Actuarial science and mathematical finance (91Gxx) Mathematics for nonmathematicians (engineering, social sciences, etc.) (00A06)
Cited In (only showing first 100 items - show all)
- A semi-analytic pricing formula for lookback options under a general stochastic volatility model
- A versatile approach for stochastic correlation using hyperbolic functions
- Option pricing with Legendre polynomials
- Optimal hedging in discrete time
- Price equations with symmetric supply/demand; implications for fat tails
- Power penalty approach to American options pricing under regime switching
- Applying a power penalty method to numerically pricing American bond options
- Valuation of variable annuities with guaranteed minimum withdrawal benefit under stochastic interest rate
- Paul Wilmott introduces quantitative finance. With CD-ROM
- A hybrid convolutional neural network with long short-term memory for statistical arbitrage
- Regime switching in stochastic models of commodity prices: an application to an optimal tree harvesting problem
- On expansions for the Black-Scholes prices and hedge parameters
- Pricing variable annuity guarantees in a local volatility framework
- An upwind finite difference method for a nonlinear Black-Scholes equation governing European option valuation under transaction costs
- Multi-asset Black-Scholes model as a variable second class constrained dynamical system
- Arbitrage risk induced by transaction costs
- Derivation of non-classical stochastic price dynamics equations
- Closed-form option pricing for exponential Lévy models: a residue approach
- Model uncertainty, recalibration, and the emergence of delta-vega hedging
- Efficient \(L\)-stable method for parabolic problems with application to pricing American options under stochastic volatility
- Vanna-Volga methods applied to FX derivatives: from theory to market practice
- Option pricing, stochastic volatility, singular dynamics and constrained path integrals
- Stochastic volatility models at \(\rho = \pm 1\) as second class constrained Hamiltonian systems
- Operator splitting schemes for the two-asset Merton jump-diffusion model
- Numerical methods to solve PDE models for pricing business companies in different regimes and implementation in GPUs
- A MOMENT MATCHING APPROACH TO THE VALUATION OF A VOLUME WEIGHTED AVERAGE PRICE OPTION
- IMPLIED VOLATILITY FROM ASIAN OPTIONS VIA MONTE CARLO METHODS
- On a semi-spectral method for pricing an option on a mean-reverting asset
- Optimal hedging of American options in discrete time
- A semigroup approach to American options
- Risk Minimizing Option Pricing for a Class of Exotic Options in a Markov-Modulated Market
- Valuation of European Options Under an Uncertain Market Price of Volatility Risk
- Pricing American bond options using a penalty method
- The pricing of Quanto options under dynamic correlation
- A comparison of iterated optimal stopping and local policy iteration for American options under regime switching
- Lookback option pricing for regime-switching jump diffusion models
- Dynamic programming and error estimates for stochastic control problems with maximum cost
- APPROXIMATING OPTION PRICES UNDER LARGE CHANGES OF UNDERLYING ASSET PRICES
- How to escape a declining market: capacity investment or exit?
- Extracting the sovereigns' CDS market hierarchy: a correlation-filtering approach
- The shadow costs of repos and bank liability structure
- Pricing Asian options via compound gamma and orthogonal polynomials
- Calibrating local volatility models with stochastic drift and diffusion
- A recursive pricing formula for a path-dependent option under the constant elasticity of variance diffusion
- Asymptotic analysis of shout options close to expiry
- Mathematical model of stock prices via a fractional Brownian motion model with adaptive parameters
- Title not available (Why is that?)
- A new finite difference method for pricing and hedging fixed income derivatives: comparative analysis and the case of an Asian option
- A genetic estimation algorithm for parameters of stochastic ordinary differential equations
- Asymptotic option pricing under the CEV diffusion
- Handbooks in operations research and management science: Financial engineering
- LAPLACE TRANSFORMS AND INSTALLMENT OPTIONS
- Pricing American call options under a hard-to-borrow stock model
- A self-exciting threshold jump-diffusion model for option valuation
- Stochastic covariance and dimension reduction in the pricing of basket options
- Quanto pricing in stochastic correlation models
- Functional Itô calculus, path-dependence and the computation of Greeks
- Installment options close to expiry
- On the Convexity Correction Approximation in Pricing Volatility Swaps and VIX Futures
- Computational technique for treating the nonlinear Black-Scholes equation with the effect of transaction costs
- Remarks on the nonlinear Black-Scholes equations with the effect of transaction costs
- Testing diffusion processes for non-stationarity
- Hedging strategy for a portfolio of options and stocks with linear programming
- BENCHOP -- the benchmarking project in option pricing
- An inverse finance problem for estimating volatility in American option pricing under jump-diffusion dynamics
- A comparison of lattice based option pricing models on the rate of convergence
- Polynomial chaos for simulating random volatilities
- Valuing a timber harvest contract as a high-dimensional American call option via least-squares Monte Carlo simulation
- Lookback option pricing under the double Heston model using a deep learning algorithm
- Speeding up the Euler scheme for killed diffusions
- American-type basket option pricing: a simple two-dimensional partial differential equation
- The QLBS Q-Learner goes NuQLear: fitted Q iteration, inverse RL, and option portfolios
- Analysis of the optimal exercise boundary of American put options with delivery lags
- A new calibration of the Heston stochastic local volatility model and its parallel implementation on GPUs
- Some pricing tools for the variance gamma model
- An RLT approach for solving the binary-constrained mixed linear complementarity problem
- Particle-scale modelling of financial price dynamics
- Historical backtesting of local volatility model using aud/usd vanilla options
- Meshless methods for American option pricing through physics-informed neural networks
- PDTM approach to solve Black Scholes equation for powered ML-payoff function
- Pricing options on EU ETS certificates with a time-varying market price of risk model
- Heston model: the variance swap calibration
- The art of quantitative finance Vol. 2. Volatilities, stochastic analysis and valuation tools
- The value of power-related options under spectrally negative Lévy processes
- Pricing of American carbon emission derivatives and numerical method under the mixed fractional Brownian motion
- IMEX-RK finite volume methods for nonlinear 1d parabolic PDEs. Application to option pricing
- Combining guaranteed and spot markets in display advertising: selling guaranteed page views with stochastic demand
- Convergence, non-negativity and stability of a new lobatto IIIC-Milstein method for a pricing option approach based on stochastic volatility model
- Modelling and calibration of stochastic correlation in finance
- A reduced PDE method for European option pricing under multi-scale, multi-factor stochastic volatility
- Estimation of ask and bid prices for geometric Asian options
- Endogenous stochastic arbitrage bubbles and the Black-Scholes model
- A stochastic local volatility technique for TARN options
- Closed-form pricing formulas for variance swaps in the Heston model with stochastic long-run mean of variance
- On the construction of a quartically convergent method for high-dimensional Black-Scholes time-dependent PDE
- Resonance phenomena in option pricing with arbitrage
- An introduction to quantitative finance
- Laplace transforms of stochastic integrals and the pricing of Bermudan swaptions
- Integral equation formulation for shout options
- Iterative speedup by utilizing symmetric data in pricing options with two risky assets
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