Description: PDE and Martingale Methods in Option Pricing Please note: this item is printed on demand and will take extra time before it can be dispatched to you (up to 20 working days). Author(s): Andrea Pascucci Format: Paperback Language: English Publisher: Springer Verlag, Italy Imprint: Springer Verlag ISBN-13: 9788847056275, 978-8847056275 Synopsis 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 Levy 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.
Price: 81.97 GBP
Location: Aldershot
End Time: 2025-02-03T11:04:31.000Z
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Book Title: PDE and Martingale Methods in Option Pricing
Number of Pages: 738 Pages
Language: English
Publication Name: Pde and Martingale Methods in Option Pricing
Publisher: Springer
Publication Year: 2014
Subject: Finance, Mathematics
Item Height: 235 mm
Item Weight: 1116 g
Type: Textbook
Author: Andrea Pascucci
Series: Bocconi and Springer Series
Item Width: 155 mm
Format: Paperback
