| 000 | 02584nam a22004815i 4500 | ||
|---|---|---|---|
| 001 | 978-88-470-1781-8 | ||
| 003 | DE-He213 | ||
| 005 | 20140220083821.0 | ||
| 007 | cr nn 008mamaa | ||
| 008 | 110415s2011 it | s |||| 0|eng d | ||
| 020 |
_a9788847017818 _9978-88-470-1781-8 |
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| 024 | 7 |
_a10.1007/978-88-470-1781-8 _2doi |
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| 050 | 4 | _aHB135-147 | |
| 072 | 7 |
_aKF _2bicssc |
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| 072 | 7 |
_aMAT003000 _2bisacsh |
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| 072 | 7 |
_aBUS027000 _2bisacsh |
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| 082 | 0 | 4 |
_a519 _223 |
| 100 | 1 |
_aPascucci, Andrea. _eauthor. |
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| 245 | 1 | 0 |
_aPDE and Martingale Methods in Option Pricing _h[electronic resource] / _cby Andrea Pascucci. |
| 264 | 1 |
_aMilano : _bSpringer Milan, _c2011. |
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| 300 |
_aXVIII, 720 p. 78 illus. _bonline resource. |
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| 336 |
_atext _btxt _2rdacontent |
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| 337 |
_acomputer _bc _2rdamedia |
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| 338 |
_aonline resource _bcr _2rdacarrier |
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| 347 |
_atext file _bPDF _2rda |
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| 490 | 1 |
_aBocconi & Springer Series, _x2039-1471 |
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| 520 | _aThis 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 | _aMathematics. | |
| 650 | 0 | _aFinance. | |
| 650 | 0 | _aDistribution (Probability theory). | |
| 650 | 1 | 4 | _aMathematics. |
| 650 | 2 | 4 | _aQuantitative Finance. |
| 650 | 2 | 4 | _aProbability Theory and Stochastic Processes. |
| 650 | 2 | 4 | _aApplications of Mathematics. |
| 650 | 2 | 4 | _aFinance/Investment/Banking. |
| 710 | 2 | _aSpringerLink (Online service) | |
| 773 | 0 | _tSpringer eBooks | |
| 776 | 0 | 8 |
_iPrinted edition: _z9788847017801 |
| 830 | 0 |
_aBocconi & Springer Series, _x2039-1471 |
|
| 856 | 4 | 0 | _uhttp://dx.doi.org/10.1007/978-88-470-1781-8 |
| 912 | _aZDB-2-SMA | ||
| 999 |
_c108847 _d108847 |
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