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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.
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.
Unified and detailed treatment of PDE and martingale methods in option pricing
Full treatment of arbitrage theory in discrete and continuous time
Self-contained introduction to advanced methods (Malliavin calculus, Levy processes, Fourier methods, etc)
Includes supplementary material: [...]
| Erscheinungsjahr: | 2014 |
|---|---|
| Fachbereich: | Allgemeines |
| Genre: | Importe, Mathematik |
| Rubrik: | Naturwissenschaften & Technik |
| Medium: | Taschenbuch |
| Reihe: | Bocconi & Springer Series |
| Inhalt: |
xvii
721 S. |
| ISBN-13: | 9788847056275 |
| ISBN-10: | 8847056276 |
| Sprache: | Englisch |
| Einband: | Kartoniert / Broschiert |
| Autor: | Pascucci, Andrea |
| Hersteller: |
Springer
Springer Italia S.r.l. Bocconi & Springer Series |
| Verantwortliche Person für die EU: | Springer Verlag GmbH, Tiergartenstr. 17, D-69121 Heidelberg, juergen.hartmann@springer.com |
| Maße: | 235 x 155 x 40 mm |
| Von/Mit: | Andrea Pascucci |
| Erscheinungsdatum: | 12.10.2014 |
| Gewicht: | 1,101 kg |
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