Option Pricing in a Nutshell The super-replication paradigmStochastic representation of solutions of linear PDEsMonte Carlo The Monte Carlo method Euler discretization error Romberg extrapolationSome Excursions in Option Pricing Complete market modelsBeyond replication and super…
Chapter 11: Calibration of Local Stochastic Volatility Models to Market SmilesChapter 12: Calibration of Local Correlation Models to Market Smiles; Chapter 13: Marked Branching Diffusions; References. Front Cover; Dedication; Contents; Preface; List of Figures; List of Tables; …
"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 numer…
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--…
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, highl…
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