Nonlinear option pricing
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--Nonlinear Option...
| Main Authors: | , |
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| Format: | eBook |
| Language: | English |
| Published: |
Boca Raton, FL
Taylor and Francis, an imprint of Chapman and Hall/CRC
2014
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| Edition: | First edition |
| Series: | Chapman and Hall/CRC financial mathematics series
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| Online Access: | |
| Collection: | O'Reilly - Collection details see MPG.ReNa |
| Summary: | 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--Nonlinear Option Pricing compares various numerical methods for solving high-dimensional nonlinear problems arising in option pricing. Designed for practitioners, it is the first authored book to discuss nonlinear Black-Scholes PDEs and compare the efficiency of many different methods |
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| Physical Description: | 484 pages 110 illustrations |
| ISBN: | 9781466570344 |