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＜電子ブック＞
PDE and Martingale Methods in Option Pricing / by Andrea Pascucci
(Bocconi & Springer Series, Mathematics, Statistics, Finance and Economics. ISSN:2039148X)

版	1st ed. 2011.
出版者	(Milano : Springer Milan : Imprint: Springer)
出版年	2011
本文言語	英語
大きさ	XVII, 721 p : online resource
著者標目	*Pascucci, Andrea author SpringerLink (Online service)
件　名	LCSH:Social sciences -- Mathematics  全ての件名で検索 LCSH:Probabilities LCSH:Mathematics LCSH:Finance FREE:Mathematics in Business, Economics and Finance FREE:Probability Theory FREE:Applications of Mathematics FREE:Financial Economics
一般注記	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 HTTP:URL=https://doi.org/10.1007/978-88-470-1781-8

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