Authors:
- 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: sn.pub/extras
Part of the book series: Bocconi & Springer Series (BS)
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Table of contents (16 chapters)
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Front Matter
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Back Matter
About this book
Reviews
From the reviews:
“The author provides an excellent overview of methods from the theory of partial differential equations and stochastic processes used in mathematical finance. … The book is well written, the mathematical level is quite sophisticated and a broad range of material is covered. At the same time, there is a clear focus on applications. The book is therefore warmly recommended for graduate students as well as for professionals in the financial industry.” (Johan Tysk, Mathematical Reviews, Issue 2012 i)
“The book is written for graduate and advanced undergraduate students and gives an introduction to the modern theory of option pricing. … this book covers a wide range of topics with good motivations on a rigorous mathematical level.” (Sören Christensen, Zentralblatt MATH, Vol. 1214, 2011)
Authors and Affiliations
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Department of Mathematics, University of Bologna, Bologna
Andrea Pascucci
About the author
Bibliographic Information
Book Title: PDE and Martingale Methods in Option Pricing
Authors: Andrea Pascucci
Series Title: Bocconi & Springer Series
DOI: https://doi.org/10.1007/978-88-470-1781-8
Publisher: Springer Milano
eBook Packages: Mathematics and Statistics, Mathematics and Statistics (R0)
Copyright Information: Springer Milan 2011
Hardcover ISBN: 978-88-470-1780-1Published: 28 December 2010
Softcover ISBN: 978-88-470-5627-5Published: 12 October 2014
eBook ISBN: 978-88-470-1781-8Published: 15 April 2011
Series ISSN: 2039-1471
Series E-ISSN: 2039-148X
Edition Number: 1
Number of Pages: XVII, 721
Topics: Quantitative Finance, Probability Theory and Stochastic Processes, Applications of Mathematics, Finance, general
Industry Sectors: Finance, Business & Banking