PDE and Martingale Methods in Option Pricing

• Κύριος συγγραφέας: Pascucci, Andrea (Συγγραφέας)
• Συγγραφή απο Οργανισμό/Αρχή: SpringerLink (Online service)
• Μορφή: Ηλεκτρονική πηγή Ηλ. βιβλίο
• Γλώσσα: English
• Έκδοση: Milano : Springer Milan, 2011.
• Σειρά: Bocconi & Springer Series,
• Θέματα: Mathematics.; Finance.; Applied mathematics.; Engineering mathematics.; Economics, Mathematical.; Probabilities.; Quantitative Finance.; Probability Theory and Stochastic Processes.; Applications of Mathematics.; Finance, general.

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...