PDE and Martingale Methods in Option Pricing

Inbunden, Engelska, 2010

Av Andrea Pascucci

1 849 kr

Beställningsvara. Skickas inom 10-15 vardagar

Fri frakt för medlemmar vid köp för minst 249 kr.

Finns i fler format (1)

Häftad

1 299 kr

Skickas inom 10-15 vardagar

This book offers an introduction to the mathematical, probabilistic and numerical methods used in the modern theory of option pricing. After the martingale representation theorems and the Girsanov theory have been presented, arbitrage pricing is revisited in the martingale theory optics.

Produktinformation

Utgivningsdatum2010-12-28
Mått155 x 235 x 41 mm
Vikt1 182 g
FormatInbunden
SpråkEngelska
SerieBocconi & Springer Series
Antal sidor721
Upplaga2
FörlagSpringer Verlag
ISBN9788847017801
OriginaltitelCalcolo Stocastico per la Finanza

Tillhör följande kategorier

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 therefore warmly recommended for graduate students as well as for professionals in the financial industry." (Johan Tysk, Mathematical Reviews, Issue 2012 i) "The book is written for graduate and advanced undergraduate students and gives an introduction to the modern theory of option pricing. ... this book covers a wide range of topics with good motivations on a rigorous mathematical level." (Soren Christensen, Zentralblatt MATH, Vol. 1214, 2011)