PDE and Martingale Methods in Option Pricing 2024 pdf epub mobi 电子书

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发表于2024-06-26

PDE and Martingale Methods in Option Pricing 2024 pdf epub mobi 电子书

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出版者:Springer

作者:Andrea Pascucci

出品人:

页数:740

译者:

出版时间:2010-12-28

价格:GBP 58.99

装帧:Hardcover

isbn号码:9788847017801

丛书系列:

图书标签: Finance Probability PDE 金融数学 Stochastics Mathematics ~

PDE and Martingale Methods in Option Pricing 2024 pdf epub mobi 电子书图书描述

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.

PDE and Martingale Methods in Option Pricing 2024 pdf epub mobi 电子书

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