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The book uniquely combines probabilistic methods and partial differential equations to effectively price derivatives under both constant and stochastic volatility models. This approach allows readers to explicitly compute a wide range of prices for European, American, and Asian derivatives, offering a comprehensive understanding of mathematical finance.
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DETERMINISTIC AND STOCHASTIC TOPICS IN COMPUTATIONAL FINANCE, Ovidiu Calin
- Language
- Released
- 2016
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- (Hardcover)
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