bokomslag PDE and Martingale Methods in Option Pricing
Vetenskap & teknik

PDE and Martingale Methods in Option Pricing

Andrea Pascucci

Pocket

1399:-

Funktionen begränsas av dina webbläsarinställningar (t.ex. privat läge).

Uppskattad leveranstid 10-16 arbetsdagar

Fri frakt för medlemmar vid köp för minst 249:-

Andra format:

  • 721 sidor
  • 2014
This book offers an introduction to the mathematical, probabilistic and numerical methods used in the modern theory of option pricing. The text is designed for readers with a basic mathematical background. The first part contains a presentation of the arbitrage theory in discrete time. In the second part, the theories of stochastic calculus and parabolic PDEs are developed in detail and the classical arbitrage theory is analyzed in a Markovian setting by means of of PDEs techniques. After the martingale representation theorems and the Girsanov theory have been presented, arbitrage pricing is revisited in the martingale theory optics. General tools from PDE and martingale theories are also used in the analysis of volatility modeling. The book also contains an Introduction to Lvy processes and Malliavin calculus. The last part is devoted to the description of the numerical methods used in option pricing: Monte Carlo, binomial trees, finite differences and Fourier transform.
  • Författare: Andrea Pascucci
  • Format: Pocket
  • ISBN: 9788847056275
  • Språk: Italienska
  • Antal sidor: 721
  • Utgivningsdatum: 2014-10-12
  • Förlag: Springer Verlag