PDE and Martingale Methods in Option Pricing

Name: PDE and Martingale Methods in Option Pricing
Author: Andrea Pascucci

Andrea Pascucci

Springer Verlag

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2 321 Kč

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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.

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