Copied PDE and Martingale Methods in Option Pricing
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 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 Lvy 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.
Price Comparison
| Seller | Contact Seller | List Price | On Sale | Shipping | Best Promo | Final Price | Volume Discount | Financing | Availability | Seller's Page |
|---|---|---|---|---|---|---|---|---|---|---|
|
BEST PRICE 1 Product Purchase
|
|
$89.00 | $89.00 |
|
$80.10 | See Site | In stock | Visit Store |
Reviews
Questions & Answers
Bourdieu and Higher Education
$99.00
Verkaufen nach der Krise
$39.99
Field Theory, Quantum Gravity and Strings
$39.99
Introduction to the Mathematics of Finance
$54.99
Climate Change, Climate Science and Economics
$129.00
Contemporary Kantian Metaphysics
$39.99
Law, State, and Society in Modern Iran
$54.99
Max-linear Systems: Theory and Algorithms
$109.99
Testosterone
$219.99
Einfhrung in die Wahrscheinlichkeitstheorie und Statistik
$39.99
Handbuch der Psychopharmakotherapie
$99.00
Demokratisierung durch die EU
$89.99
Decision-Making in Private Equity Firms
$39.99
Bacterial Adhesion to Cells and Tissues
$39.99
Mobile Marketing Channel
$59.99
Handbook on Business Process Management 1 & 2
$219.99
Forest Decline in the Atlantic and Pacific Region
$109.99
Variational Methods and Complementary Formulations in Dynamics
$219.99
Statistical Physics of Non Equilibrium Quantum Phenomena
$59.99
Sensors
$84.99
Population and Family in the Low Countries 1994
$169.99
Explorations in Archaeology and Philosophy
$109.99
Quantitative Logistik-Fallstudien
$19.99
Einfhrung in den Lagrange- und Hamilton-Formalismus
$34.99
The Ethics of Tax Evasion
$379.99
MicroSystem Based on SiP Technology
$219.99
Dependable Software Engineering. Theories, Tools, and Applications
$54.99
Purinergic Signaling
$169.99
Handbook of Applied Analysis
$129.00
Der Wrmebergang an einer im geschlossenen Gehuse rotierenden Scheibe
$59.99
Application of Particle and Laser Beams in Materials Technology
$329.99
ERP Systems and Organisational Change
$169.99
Biomedical Ethics Reviews 1992
$39.99
Reconfigurable Intelligent Surface-Enabled Integrated Sensing and Communication in
$129.00
Vom Ende des Individuums zur Individualitt ohne Ende
$44.99
Handbook of the History of Economic Thought
$169.00
Guide to the Birds of Alaska, 6Th Edition by Robert H. Armstrong
$29.99
Very High Angular Resolution Imaging
$219.99
Applied Cryptography and Network Security
$54.99
Reasoning with Rules and Precedents
$109.99
