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PDE and Martingale Methods in Option Pricing (Bocconi & Springer Series)

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PDE and Martingale Methods in Option Pricing (Bocconi & Springer Series)

4.85 88,810 ratings · 1,114 reviews
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Overview: 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.

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Published December 28, 2010
ISBN 11599825
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Andrea Pascucci
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Andrea Pascucci is the author of several novels. Originally from the East Coast, they now live in the Midwest with family. In addition to writing, Andrea Pascucci enjoys gardening, cooking, and reading way past bedtime. Their work often explores the complexities of everyday life and human relationships.

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Masterpiece from start to finish. I adored how the story unfolded. It kept me captivated without sacrificing elegance. Worth every moment spent reading.
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Such a rich narrative. The prose is exquisite. It’s accessible yet undeniably sophisticated. I am now a lifelong fan of this author.
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Honestly one of the most premium reading experiences lately. The author orchestrated a breathtaking finale. Truly a work of art. A true literary gem.
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A highly sophisticated read. A brilliant concept executed with flair. Just a few pacing choices I would change. Quite impressive overall.
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Exceeded all my expectations. I became deeply invested in the protagonist's journey. A masterclass in storytelling. An effortless 5 stars.
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Took a moment to build, but the payoff was spectacular. It held my rapt attention, even when certain twists were telegraphed. A wonderful companion for a quiet weekend.
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A profoundly satisfying read. I adored how the story unfolded. It kept me captivated without sacrificing elegance. Worth every moment spent reading.
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Honestly one of the most premium reading experiences lately. I adored how the story unfolded. It kept me captivated without sacrificing elegance. I am now a lifelong fan of this author.
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Absolutely brilliant. The author orchestrated a breathtaking finale. Truly a work of art. An absolute must-read for connoisseurs of the genre.
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Absolutely brilliant. I became deeply invested in the protagonist's journey. A masterclass in storytelling. An effortless 5 stars.
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Absolutely brilliant. The prose is exquisite. It’s accessible yet undeniably sophisticated. I am now a lifelong fan of this author.
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Honestly one of the most premium reading experiences lately. I adored how the story unfolded. It kept me captivated without sacrificing elegance. I am now a lifelong fan of this author.
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Masterpiece from start to finish. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. I will undoubtedly revisit this masterpiece.
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Absolutely brilliant. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. I will undoubtedly revisit this masterpiece.
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Absolutely brilliant. I became deeply invested in the protagonist's journey. A masterclass in storytelling. An absolute must-read for connoisseurs of the genre.
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I thoroughly enjoyed the elegance of it. The protagonist was compelling, though some subplots felt slightly overshadowed. A wonderful companion for a quiet weekend.
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Such a rich narrative. I adored how the story unfolded. It kept me captivated without sacrificing elegance. A true literary gem.
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Absolutely brilliant. The author orchestrated a breathtaking finale. Truly a work of art. A true literary gem.
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A profoundly satisfying read. I adored how the story unfolded. It kept me captivated without sacrificing elegance. An absolute must-read for connoisseurs of the genre.
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