Guyon and Henry-Labordére present and compare various numerical methods for solving high-dimensional nonlinear problems arising in option pricing. Some of the methods have been described
elsewhere, but never before in a context that allows them to be compared. Many of the methods are their own, and are published here for the first time. Among the topics are option pricing in a
nutshell, examples of nonlinear problems in finance, backward stochastic differential equations, calibrating local correlation models to market smiles, and marked branching diffusions.
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