This book introduces algorithms for fast, accurate pricing of derivative contracts. These are developed in classical Black-Scholes markets, and extended to models based on multiscale stochastic volatility, to L???vy, additive and classes of Feller processes.
Read More
This book introduces algorithms for fast, accurate pricing of derivative contracts. These are developed in classical Black-Scholes markets, and extended to models based on multiscale stochastic volatility, to L???vy, additive and classes of Feller processes.
Read Less
