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- DescriptionThis 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 Girsav 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 Levy processes and Malliavin calculus. The last part is devoted to the description of the numerical methods used in option pricing: Monte Carlo, bimial trees, finite differences and Fourier transform.
- Author BiographyAndrea Pascucci is Professor of Mathematics at the University of Bologna where he is director of a master program in Quantitative Finance. His research interests include second order parabolic partial differential equations and stochastic analysis with applications to finance (pricing of European, American and Asian options).
- Author(s)Andrea Pascucci
- PublisherSpringer Verlag
- Date of Publication24/12/2010
- SubjectFinance & Accounting
- Series TitleBocconi and Springer Series
- Place of PublicationMilan
- Country of PublicationItaly
- ImprintSpringer Verlag
- Content Notebiography
- Weight1205 g
- Width156 mm
- Height234 mm
- Spine39 mm
- Format DetailsLaminated cover
- Edition Statement2nd edition
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