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. 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...

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Bibliographic Details
Main Author:	Pascucci, Andrea
Corporate Author:	SpringerLink (Online service)
Format:	Electronic Resource
Language:	English
Published:	Milan, New York Springer c2011.
Series:	Bocconi & springer series 2
Subjects:	Options (Finance) > Prices > Mathematical models. Martingales (Mathematics) Differential equations, Partial. Electronic books.
Online Access:	Available for University of the Philippines Diliman via SpringerLink. Click here to access