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PDE and martingale methods in option pricing [Elektronski vir]Pascucci, AndreaThis 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 transformVrsta gradiva - e-knjigaZaložništvo in izdelava - Milan ; New York : Springer, cop. 2011Jezik - angleškiISBN - 978-88-470-1781-8; 88-470-1781-5COBISS.SI-ID - 1543722207
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SpringerLink e-books 2008-2012Celotno besedilo dostopno za uporabnike SpringerLink slovenskega konzorcija neprofitnih institucij
Full text accessible to the users of SpringerLink Slovenian Consortium of Non-Profit Institutions
DOI
Avtor
Pascucci, Andrea
Zbirka
Bocconi & Springer Series
Teme
Options (Finance) |
Prices |
Mathematical models |
Martingales (Mathematics) |
Differential equations, Partial |
Quantitative Finance |
Probability Theory and Stochastic Processes |
Applications of Mathematics |
Finance/Investment/Banking |
Differential equations, Partial |
Martingales (Mathematics) |
Options (Finance) |
Prices |
Mathematical models |
Electronic books
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