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

Andrea Pascucci




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 | #2697561 in eBooks |  2011-04-15 |  2011-04-15 | File type: PDF

|| ||From the reviews:|“The author provides an excellent overview of methods from the theory of partial differential equations and stochastic processes used in mathematical finance. … The book is well written, the mathematical level is quite sophistic

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 mean...

You easily download any file type for your device.PDE and Martingale Methods in Option Pricing (Bocconi & Springer Series)   |  Andrea Pascucci.Not only was the story interesting, engaging and relatable, it also teaches lessons.

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