ABSTRACT

New Tools to Solve Your Option Pricing ProblemsFor 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 hi

chapter 1|26 pages

Option Pricing in a Nutshell

chapter 2|22 pages

Monte Carlo

chapter 3|16 pages

Some Excursions in Option Pricing

chapter 4|28 pages

Nonlinear PDEs: A Bit of Theory

chapter 5|32 pages

Examples of Nonlinear Problems in Finance

chapter 6|48 pages

Early Exercise Problems

chapter 7|14 pages

Backward Stochastic Differential Equations

chapter 8|38 pages

The Uncertain Lapse and Mortality Model

chapter 9|24 pages

The Uncertain Volatility Model

chapter 13|48 pages

Marked Branching Diffusions