| Item type | Current location | Collection | Call number | Copy number | Status | Date due | Barcode |
|---|---|---|---|---|---|---|---|
| E-Books | Biblioteca da FCTUNL Online | Não Ficção | HG173.SPR FCT 82884 (Browse shelf) | 1 | Available |
Browsing Biblioteca da FCTUNL Shelves , Shelving location: Online , Collection code: Não Ficção Close shelf browser
| HG173.SPR FCT 82654 Financial modeling | HG173.SPR FCT 82701 Generalized hyperbolic secant distributions | HG173.SPR FCT 82868 Finanza matematica | HG173.SPR FCT 82884 PDE and martingale methods in option pricing | HG174.CAR FCT 96020 Numerical methods in finance | HG174.SPR FCT 82057 Tychastic measure of viability risk | HG176.5.SPR FCT 81403 Statistics for business and financial economics |
Colocação: Online
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.
There are no comments for this item.