PDE and Martingale Methods in Option Pricing
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...
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| Autore principale: | |
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| Natura: | Livre numérique |
| Lingua: | Anglais |
| Pubblicazione: |
Milano :
Springer Milan
[20..].
Cham : Springer Nature |
| Edizione: | 1st ed. 2011. |
| Serie: | Bocconi & Springer Series, Mathematics, Statistics, Finance and Economics
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| Soggetti: | |
| Accesso online: | Accès sur la plateforme de l'éditeur Accès sur la plateforme Istex Accès Université d'Orléans Accès INSA CVL |
| Nota: |
Description d'après consultation du 09 avril 2013 Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| Autres localisations: | Voir dans le Sudoc |
| Edition sous un autre format: | • PDE and martingale methods in option pricing, Andrea Pascucci, 2010, Milan, Springer, Bocconi university press, 1 vol. (XVII-719 p.), Bocconi & Springer series, 978-88-470-1780-1 |
| Riassunto: | 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 |
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| Descrizione del documento: | Description d'après consultation du 09 avril 2013 Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| Bibliografia: | Bibliogr. Index |
| ISBN: | 9788847017818 |
| ISSN: | 2039-148X |
| Accesso: | Accès en ligne pour les établissements français bénéficiaires des licences nationales Accès soumis à abonnement pour tout autre établissement Conditions particulières de réutilisation pour les bénéficiaires des licences nationales. https://www.licencesnationales.fr/springer-nature-ebooks-contrat-licence-ln-2017 |