Nonlinear Option Pricing av Julien (Bloomberg LP New York New York USA) Guyon, Pierre (Societe Generale Paris France) Henry-Labordere

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<P><EM>New Tools to Solve Your Option Pricing Problems</EM></P><P></P><P>For nonlinear PDEs encountered in quantitative finance, advanced probabilistic methods are needed to address dimensionality issues. Written by two leaders in quantitative research¿including <EM>Risk</EM> magazine¿s 2013 Quant of the Year¿<STRONG>Nonlinear Option Pricing</STRONG> 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. </P><P><EM>Real-World Solutions for Quantitative Analysts</EM></P><P></P><P>The book helps quants develop both their analytical and numerical expertise. It focuses on general mathematical tools rather than specific financial questions so that readers can easily use the tools to solve their own nonlinear problems. The authors build intuition through numerous real-world examples of nu