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Nonlinear Option Pricing

Author: Julien Guyon
Publisher: CRC Press
ISBN: 1466570342
Category : Business & Economics
Languages : en
Pages : 480

Book Description
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

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