25 Books to Read Before You Die
 
 

Recently Viewed clear list


Q&A | August 19, 2014

Richard Kadrey: IMG Powell’s Q&A: Richard Kadrey



Describe your latest book. The Getaway God is the sixth book in the Sandman Slim series. In it, the very unholy nephilim, James Stark, aka Sandman... Continue »
  1. $17.49 Sale Hardcover add to wish list

spacer
Qualifying orders ship free.
$84.95
New Hardcover
Ships in 1 to 3 days
Add to Wishlist
available for shipping or prepaid pickup only
Available for In-store Pickup
in 7 to 12 days
Qty Store Section
1 Remote Warehouse Mathematics- Modeling

More copies of this ISBN

Bocconi & Springer #02: PDE and Martingale Methods in Option Pricing

by

Bocconi & Springer #02: PDE and Martingale Methods in Option Pricing Cover

 

Synopses & Reviews

Publisher Comments:

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.

Synopsis:

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.

About the Author

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).

Product Details

ISBN:
9788847017801
Author:
Pascucci, Andrea
Publisher:
Springer
Subject:
Finance
Subject:
Applied
Subject:
Probability & Statistics - General
Subject:
Arbitrage theory
Subject:
Numerical methods in finance
Subject:
Option Pricing
Subject:
Quantitative Finance
Subject:
stochastic calculus
Subject:
Probability Theory and Stochastic Processes
Subject:
APPLICATIONS OF MATHEMATICS
Subject:
Finance /Banking
Subject:
Finance/Investment/Banking
Subject:
Finance/Investment/Banking Unified and detailed treatment of PDE and martingale methods in option pricing Full treatment of arbitrage theory in discrete and continuous time Self-contained introduction to advanced methods (Malliavin calculus, Levy processe
Subject:
Business-Accounting and Finance
Subject:
Game Theory
Copyright:
Edition Description:
2011
Series:
Bocconi & Springer Series
Publication Date:
20110121
Binding:
HARDCOVER
Language:
English
Pages:
738
Dimensions:
235 x 155 mm

Other books you might like

  1. Quantum Field Theory III: Gauge... New Hardcover $150.50
  2. Pyramid Scheme Used Mass Market $4.95

Related Subjects

» Arts and Entertainment » Art » General
» Arts and Entertainment » Art » Style and Design
» Arts and Entertainment » Photography » Technique
» Business » Accounting and Finance
» Business » Investing » Options
» Health and Self-Help » Health and Medicine » Alternative
» Health and Self-Help » Health and Medicine » General
» Health and Self-Help » Health and Medicine » General Medicine
» Science and Mathematics » Mathematics » Applied
» Science and Mathematics » Mathematics » Modeling
» Science and Mathematics » Mathematics » Probability and Statistics » General
» Science and Mathematics » Mathematics » Probability and Statistics » Statistics

Bocconi & Springer #02: PDE and Martingale Methods in Option Pricing New Hardcover
0 stars - 0 reviews
$84.95 In Stock
Product details 738 pages Springer - English 9788847017801 Reviews:
"Synopsis" by , 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.
spacer
spacer
  • back to top
Follow us on...




Powell's City of Books is an independent bookstore in Portland, Oregon, that fills a whole city block with more than a million new, used, and out of print books. Shop those shelves — plus literally millions more books, DVDs, and gifts — here at Powells.com.