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This book is a sequel to the author's well-received "Option Valuation under Stochastic Volatility." It extends that work to jump-diffusions and many related top

This comprehensive guide offers traders, quants, and students the tools and techniques for using advanced models for pricing options. The accompanying website i

This collection of selected, revised and extended contributions resulted from a Workshop on BSDEs, SPDEs and their Applications that took place in Edinburgh, Sc

This book, first published in 2000, addresses pricing and hedging derivative securities in uncertain and changing market volatility.