PDE and Martingale Methods in Option Pricing 在线电子书 pdf 下载 txt下载 epub 下载 mobi 下载 2024

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Andrea Pascucci 作者

Springer

译者

2010-12-28 出版日期

740 页数

GBP 58.99 价格

Hardcover

丛书系列

9788847017801 图书编码

PDE and Martingale Methods in Option Pricing 在线电子书图书标签: Finance Probability PDE 金融数学 Stochastics Mathematics ~

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PDE and Martingale Methods in Option Pricing 在线电子书 epub 下载 mobi 下载 pdf 下载 txt 下载 2024

PDE and Martingale Methods in Option Pricing 在线电子书 pdf 下载 txt下载 epub 下载 mobi 下载 2024

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PDE and Martingale Methods in Option Pricing 在线电子书 pdf 下载 txt下载 epub 下载 mobi 在线电子书下载

PDE and Martingale Methods in Option Pricing 在线电子书图书描述

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.

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