Articles liés à PDE and Martingale Methods in Option Pricing
PDE and Martingale Methods in Option Pricing - Couverture rigide
Livre 2 sur 9: Bocconi & Springer Series
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 Lévy 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.
Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.
À propos de l'auteur
Andrea Pascucci is Professor of Mathematics at the University of Bologna where he is director of a master program in Quantitative Finance. His research interests include second order parabolic partial differential equations and stochastic analysis with applications to finance (pricing of European, American and Asian options).
Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.
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Pde and Martingale Methods in Option Pricing: 02 (Bocconi & Springer Series) [Hardcover] [Dec 28, 2010] Pascucci, Andrea
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PDE and Martingale Methods in Option Pricing.
Edité par
Springer Italia, 2010
ISBN 10 : 8847017807
ISBN 13 : 9788847017801
Ancien ou d'occasion
Couverture rigide
Vendeur : CSG Onlinebuch GMBH, Darmstadt, Allemagne
Évaluation du vendeur 5 sur 5 étoiles
GB. Etat : Sehr gut. Gebraucht - Sehr gut -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 Lévy 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. N° de réf. du vendeur 43891
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PDE and Martingale Methods in Option Pricing (Bocconi & Springer Series)
Edité par
Springer Milan, 2010
ISBN 10 : 8847017807
ISBN 13 : 9788847017801
Ancien ou d'occasion
Couverture rigide
Vendeur : AHA-BUCH GmbH, Einbeck, Allemagne
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Gebundene Ausgabe. Etat : Sehr gut. Gebraucht - Sehr gut SG - leichte Beschädigungen oder Verschmutzungen, ungelesenes Mängelexemplar, gestempelt - 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 Lévy 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. N° de réf. du vendeur INF1000548558
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PDE and Martingale Methods in Option Pricing
Edité par
Springer, Springer Dez 2010, 2010
ISBN 10 : 8847017807
ISBN 13 : 9788847017801
Neuf
Couverture rigide
Vendeur : BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, Allemagne
Évaluation du vendeur 5 sur 5 étoiles
Buch. Etat : Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -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 Lévy 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. 740 pp. Englisch. N° de réf. du vendeur 9788847017801
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PDE and Martingale Methods in Option Pricing
impression à la demandeVendeur : moluna, Greven, Allemagne
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Gebunden. Etat : New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Unified and detailed treatment of PDE and martingale methods in option pricingFull treatment of arbitrage theory in discrete and continuous timeSelf-contained introduction to advanced methods (Malliavin calculus, Levy processes, Fourier methods, etc)And. N° de réf. du vendeur 5810718
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PDE and Martingale Methods in Option Pricing (Bocconi & Springer Series)
Vendeur : Ria Christie Collections, Uxbridge, Royaume-Uni
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Etat : New. In English. N° de réf. du vendeur ria9788847017801_new
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PDE and Martingale Methods in Option Pricing (Bocconi & Springer Series)
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PDE and Martingale Methods in Option Pricing (Bocconi & Springer Series)
Edité par
Springer, 2011
ISBN 10 : 8847017807
ISBN 13 : 9788847017801
Ancien ou d'occasion
Couverture rigide
Vendeur : Mispah books, Redhill, SURRE, Royaume-Uni
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Hardcover. Etat : Like New. LIKE NEW. SHIPS FROM MULTIPLE LOCATIONS. book. N° de réf. du vendeur ERICA75888470178075
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PDE and Martingale Methods in Option Pricing
Edité par
Springer, Springer Dez 2010, 2010
ISBN 10 : 8847017807
ISBN 13 : 9788847017801
Neuf
Couverture rigide
Vendeur : buchversandmimpf2000, Emtmannsberg, BAYE, Allemagne
Évaluation du vendeur 5 sur 5 étoiles
Buch. Etat : Neu. This item is printed on demand - Print on Demand Titel. Neuware -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 Lévy 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.Springer-Verlag KG, Sachsenplatz 4-6, 1201 Wien 740 pp. Englisch. N° de réf. du vendeur 9788847017801
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PDE and Martingale Methods in Option Pricing
Vendeur : AHA-BUCH GmbH, Einbeck, Allemagne
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Buch. Etat : Neu. Druck auf Anfrage Neuware - Printed after ordering - 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 Lévy 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. N° de réf. du vendeur 9788847017801
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