PDE and Martingale Methods in Option Pricing is popular PDF and ePub book, written by Andrea Pascucci in 2011-04-15, it is a fantastic choice for those who relish reading online the Mathematics genre. Let's immerse ourselves in this engaging Mathematics book by exploring the summary and details provided below. Remember, PDE and Martingale Methods in Option Pricing can be Read Online from any device for your convenience.
PDE and Martingale Methods in Option Pricing Book PDF Summary
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.
Detail Book of PDE and Martingale Methods in Option Pricing PDF
- Author : Andrea Pascucci
- Release : 15 April 2011
- Publisher : Springer Science & Business Media
- ISBN : 9788847017818
- Genre : Mathematics
- Total Page : 727 pages
- Language : English
- PDF File Size : 7,8 Mb
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