This detailed book offers an introduction to the mathematical, probabilistic and numerical methods used in the modern theory of option pricing. It includes a full treatment of arbitrage theory in discrete and continuous time.
Le informazioni nella sezione "Riassunto" possono far riferimento a edizioni diverse di questo titolo.
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)
Le informazioni nella sezione "Su questo libro" possono far riferimento a edizioni diverse di questo titolo.
Spese di spedizione:
EUR 23,00
Da: Germania a: U.S.A.
Descrizione libro Taschenbuch. Condizione: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -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 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. 740 pp. Englisch. Codice articolo 9788847056275
Descrizione libro Condizione: New. Buy with confidence! Book is in new, never-used condition. Codice articolo bk8847056276xvz189zvxnew
Descrizione libro Condizione: New. New! This book is in the same immaculate condition as when it was published. Codice articolo 353-8847056276-new
Descrizione libro Condizione: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Unified and detailed treatment of PDE and martingale methods in option pricingFull treatment of arbitrage theory in discrete and continuous timeSelf-contained introduction to advanced methods (Malliavin calculus, Levy processes, Fourier methods, etc)And. Codice articolo 11510255
Descrizione libro Taschenbuch. Condizione: Neu. Druck auf Anfrage Neuware - Printed after ordering - 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 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. Codice articolo 9788847056275
Descrizione libro Condizione: New. Codice articolo 26357310927
Descrizione libro Condizione: New. Print on Demand. Codice articolo 356228624
Descrizione libro Paperback. Condizione: Brand New. 2011 edition. 740 pages. 9.25x6.10x1.67 inches. In Stock. Codice articolo zk8847056276