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

New Tools to Solve Your Option Pricing ProblemsFor nonlinear PDEs encountered in quantitative finance, advanced probabilistic methods are needed to address dime

Abstract: Black and Scholes (1973) implied volatilities tend to be systematically related to the option's exercise price and time to expiration. Derman and Kani

The book gives a systematical presentation of stochastic approximation methods for discrete time Markov price processes. Advanced methods combining backward rec

From the perspective of partial differential equations (PDE), this book introduces the Black-Scholes-Merton's option pricing theory. A unified approach is used