Nonlinear Option Pricing
New Tools to Solve Your Option Pricing ProblemsFor nonlinear PDEs encountered in quantitative finance, advanced probabilistic methods are needed to address dimensionality issues. Designed for practitioners, it is the first authored book to discuss nonlinear Black-Scholes PDEs and… Celý popis ↓
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Nonlinear Option Pricing
New Tools to Solve Your Option Pricing ProblemsFor nonlinear PDEs encountered in quantitative finance, advanced probabilistic methods are needed to address dimensionality issues. 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 AnalystsThe book helps quants develop both their analytical and numerical expertise. 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.
It focuses on general mathematical tools rather than specific financial questions so that readers can easily use the tools to solve their own
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