"Computational Methods in Finance is a book developed from the author's courses at Columbia University and the Courant Institute of New York University. This self-contained text is designed for graduate students in financial engineering and mathematical finance, as well as practitioners in the...

The payoffs of exotic options (e.g., up‐and‐out call options) are dependent on the time‐path of asset prices rather than the price of the asset at a fixed point in time. The authors of this article compare various models for calibrating volatility surfaces in order to price up‐and‐out...

In recent years economists have begun to use the techniques of non-linear dynamics to show that some apparently erratic and turbulent economic phenomena reflect subtle underlying patterns. How do cyclic and chaotic dynamics arise in economic models of equilibrium? How can empirical methods be...