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. Andrea pascucci pde and martingale methods in option pricing andrea pascucci dipartimento di matematica universita di bologna andreapascucciuniboit bss bocconi springer series issn print edition 2039 1471 issn electronic edition 2039 148x isbn 978 88 470 1780 1 e isbn 978 88 470 1781 8 doi 101007 978 88 470 1781 8 library of congress control number 2010929483 springer milan . 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 . Pde and martingale methods in option pricing andrea pascucci department of mathematics university of bologna andreapascucciemail protected bss bocconi springer series issn print edition 2039 1471 issn electronic edition 2039 148x isbn 978 88 470 1780 1 e isbn 978 88 470 1781 8. Pde and martingale methods in option pricing pp 1 13 cite as derivatives and arbitrage pricing authors derivatives and arbitrage pricing in pde and martingale methods in option pricing bocconi springer series springer milano doi https
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