This paper surveys the literature on option pricing from its origins to the present. An
extensive review of valuation methods for European-and American-style claims is provided …

In this text, the author discusses the main aspects of mathematical finance. These include,
arbitrage, hedging and pricing of contingent claims, portfolio optimization, incomplete and/or …

We propose new machine learning schemes for solving high-dimensional nonlinear partial
differential equations (PDEs). Relying on the classical backward stochastic differential …

Complementary to Chapter 11, the present chapter is devoted to the study of solution
methods for VIs that are of the monotone type and also for NCPs of the P 0 type. We already …

Stochastic optimization problems arise in decision-making problems under uncertainty, and
find various applications in economics and finance. On the other hand, problems in finance …

This book is intended for readers who are quite familiar with probability and stochastic
processes but know little or nothing about finance. It is written in the definition/theorem/proof …

This is a thoroughly updated edition of Dynamic Asset Pricing Theory, the standard text for
doctoral students and researchers on the theory of asset pricing and portfolio selection in …

This book describes the theoretical and computational aspects of the mimetic finite
difference method for a wide class of multidimensional elliptic problems, which includes …

The world of quantitative finance (QF) is one of the fastest growing areas of research and its
practical applications to derivatives pricing problem. Since the discovery of the famous Black …

In the 2nd edition some sections of Part I are omitted for better readability, and a brand new
chapter is devoted to volatility risk. As a consequence, hedging of plain-vanilla options and …