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…
"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--…