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PDE and Martingale Methods in Option Pricing
Andrea Pascucci
€ 144.19
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Description for PDE and Martingale Methods in Option Pricing
Hardcover. This detailed book offers an introduction to the mathematical, probabilistic and numerical methods used in the modern theory of option pricing. It includes a full treatment of arbitrage theory in discrete and continuous time. Series: Bocconi and Springer Series. Num Pages: 721 pages, biography. BIC Classification: KFFK; KFFM; PBT; PBW. Category: (P) Professional & Vocational. Dimension: 247 x 197 x 41. Weight in Grams: 1182.
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. ... Read more
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. ... Read more
Product Details
Format
Hardback
Publication date
2011
Publisher
Springer Verlag Italy
Number of pages
585
Condition
New
Series
Bocconi and Springer Series
Number of Pages
721
Place of Publication
Milan, Italy
ISBN
9788847017801
SKU
V9788847017801
Shipping Time
Usually ships in 15 to 20 working days
Ref
99-15
About Andrea Pascucci
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).
Reviews for PDE and Martingale Methods in Option Pricing
From the reviews: “The author provides an excellent overview of methods from the theory of partial differential equations and stochastic processes used in mathematical finance. … The book is well written, the mathematical level is quite sophisticated and a broad range of material is covered. At the same time, there is a clear focus on applications. The book is ... Read more