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Nonlinear Option Pricing

By Julien Guyon, Pierre Henry-Labordere
Hardcover
$255.00
By Julien Guyon, Pierre Henry-Labordere
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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...

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