00000cmm a22000004a 4500 UP-99796217611212479 Buklod 20230215085534.0 m go j cr |n |||auu|a 110415s2011 xx u eng d 9788847017818 (eBook) 8847017815 (eBook) (iLib)UPD-00215704252 DLC DML eng DMLUC HG 6024 A3 P37 2011eb Pascucci, Andrea PDE and martingale methods in option pricing [electronic resource] by Andrea Pascucci. Milan New York Springer c2011. 1 online resource (xvii, 719 p.) ill. Bocconi & springer series 2 IP-based subscription, access limited to within on campus computer network. Access via Electronic Resources of the UPD University Library Website. 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. Electronic reproduction. New York SpringerLink 2011. Available via World Wide Web through SpringerLink. Options (Finance) Prices Mathematical models. Martingales (Mathematics) Differential equations, Partial. Electronic books. SpringerLink (Online service). Electronic Resource Available for University of the Philippines Diliman via SpringerLink. Click here to access http://dx.doi.org/10.1007/978-88-470-1781-8 FO Monograph UPD DMLR Electronic Resource