PDE and Martingale Methods in Option Pricing (Record no. 108847)
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| 000 -LEADER | |
|---|---|
| fixed length control field | 02584nam a22004815i 4500 |
| 001 - CONTROL NUMBER | |
| control field | 978-88-470-1781-8 |
| 003 - CONTROL NUMBER IDENTIFIER | |
| control field | DE-He213 |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20140220083821.0 |
| 007 - PHYSICAL DESCRIPTION FIXED FIELD--GENERAL INFORMATION | |
| fixed length control field | cr nn 008mamaa |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
| fixed length control field | 110415s2011 it | s |||| 0|eng d |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 9788847017818 |
| -- | 978-88-470-1781-8 |
| 024 7# - OTHER STANDARD IDENTIFIER | |
| Standard number or code | 10.1007/978-88-470-1781-8 |
| Source of number or code | doi |
| 050 #4 - LIBRARY OF CONGRESS CALL NUMBER | |
| Classification number | HB135-147 |
| 072 #7 - SUBJECT CATEGORY CODE | |
| Subject category code | KF |
| Source | bicssc |
| 072 #7 - SUBJECT CATEGORY CODE | |
| Subject category code | MAT003000 |
| Source | bisacsh |
| 072 #7 - SUBJECT CATEGORY CODE | |
| Subject category code | BUS027000 |
| Source | bisacsh |
| 082 04 - DEWEY DECIMAL CLASSIFICATION NUMBER | |
| Classification number | 519 |
| Edition number | 23 |
| 100 1# - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Pascucci, Andrea. |
| Relator term | author. |
| 245 10 - TITLE STATEMENT | |
| Title | PDE and Martingale Methods in Option Pricing |
| Medium | [electronic resource] / |
| Statement of responsibility, etc | by Andrea Pascucci. |
| 264 #1 - | |
| -- | Milano : |
| -- | Springer Milan, |
| -- | 2011. |
| 300 ## - PHYSICAL DESCRIPTION | |
| Extent | XVIII, 720 p. 78 illus. |
| Other physical details | online resource. |
| 336 ## - | |
| -- | text |
| -- | txt |
| -- | rdacontent |
| 337 ## - | |
| -- | computer |
| -- | c |
| -- | rdamedia |
| 338 ## - | |
| -- | online resource |
| -- | cr |
| -- | rdacarrier |
| 347 ## - | |
| -- | text file |
| -- | |
| -- | rda |
| 490 1# - SERIES STATEMENT | |
| Series statement | Bocconi & Springer Series, |
| International Standard Serial Number | 2039-1471 |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc | 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. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Mathematics. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Finance. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Distribution (Probability theory). |
| 650 14 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Mathematics. |
| 650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Quantitative Finance. |
| 650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Probability Theory and Stochastic Processes. |
| 650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Applications of Mathematics. |
| 650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Finance/Investment/Banking. |
| 710 2# - ADDED ENTRY--CORPORATE NAME | |
| Corporate name or jurisdiction name as entry element | SpringerLink (Online service) |
| 773 0# - HOST ITEM ENTRY | |
| Title | Springer eBooks |
| 776 08 - ADDITIONAL PHYSICAL FORM ENTRY | |
| Display text | Printed edition: |
| International Standard Book Number | 9788847017801 |
| 830 #0 - SERIES ADDED ENTRY--UNIFORM TITLE | |
| Uniform title | Bocconi & Springer Series, |
| -- | 2039-1471 |
| 856 40 - ELECTRONIC LOCATION AND ACCESS | |
| Uniform Resource Identifier | http://dx.doi.org/10.1007/978-88-470-1781-8 |
| 912 ## - | |
| -- | ZDB-2-SMA |
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