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PDE and Martingale Methods in Option Pricing
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PDE and Martingale Methods in Option Pricing

This book offers an introduction to the mathematical, probabilistic and numerical methods used in the modern theory of option pricing. After the martingale representation theorems and the Girsanov theory have been presented, arbitrage pricing is revisited in the martingale theory optics.
Författare
Andrea Pascucci
Upplaga
2011 ed.
ISBN
9788847056275
Språk
Engelska
Vikt
310 gram
Utgivningsdatum
2014-10-12
Sidor
721