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  • Numerical Methods and Monte Carlo Integration
    Geon Ho Choe
    978-3-032-12331-2
    2026
    Edition 1
    • Explains how to solve the Black–Scholes–Merton PDE numerically
    • Covers Monte Carlo methods, including new variance reduction methods in Monte Carlo integration
    • Discusses the Fourier transform method for option pricing including the Heston model
    • Provides both Matlab and Python codes

    €419

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