Articles liés à PDE and Martingale Methods in Option Pricing
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.
- ÉditeurSpringer
- Date d'édition2014
- ISBN 10 8847056276
- ISBN 13 9788847056275
- ReliureBroché
- Langueanglais
- Nombre de pages740
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PDE and Martingale Methods in Option Pricing
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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 11510255
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PDE and Martingale Methods in Option Pricing
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Springer Milan Okt 2014, 2014
ISBN 10 : 8847056276
ISBN 13 : 9788847056275
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Taschenbuch. 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 9788847056275
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PDE and Martingale Methods in Option Pricing
Edité par
Springer Milan, Springer Milan Okt 2014, 2014
ISBN 10 : 8847056276
ISBN 13 : 9788847056275
Neuf
Taschenbuch
Vendeur : buchversandmimpf2000, Emtmannsberg, BAYE, Allemagne
Évaluation du vendeur 5 sur 5 étoiles
Taschenbuch. Etat : Neu. 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 GmbH, Tiergartenstr. 17, 69121 Heidelberg 740 pp. Englisch. N° de réf. du vendeur 9788847056275
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PDE and Martingale Methods in Option Pricing
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Springer Milan, Springer Milan, 2014
ISBN 10 : 8847056276
ISBN 13 : 9788847056275
Neuf
Taschenbuch
Vendeur : AHA-BUCH GmbH, Einbeck, Allemagne
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Taschenbuch. 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 9788847056275
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PDE and Martingale Methods in Option Pricing
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PDE and Martingale Methods in Option Pricing (Bocconi & Springer Series)
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ISBN 10 : 8847056276
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