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

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简体网页||繁体网页

Andrea Pascucci

Springer

2010-12-28

740

GBP 58.99

Hardcover

9788847017801

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

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发表于2024-05-18

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

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

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 下载 mobi epub pdf txt 电子书