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PDE and Martingale Methods in Option Pricing
Bocconi & Springer Series
ISBN/EAN: 9788847017801
Umbreit-Nr.: 1135599
Sprache:
Englisch
Umfang: xvii, 721 S.
Format in cm:
Einband:
gebundenes Buch
Erschienen am 28.12.2010
Auflage: 2/2010
- Kurztext
- 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)Includes supplementary material: sn.pub/extras
- Autorenportrait
- Andrea Pascucci is Professor of Mathematics at the University of Bologna where he is director of a master program in Quantitative Finance. His research interests include second order parabolic partial differential equations and stochastic analysis with applications to finance (pricing of European, American and Asian options).