TY  - BOOK
AU  - Pascucci,Andrea
TI  - PDE and martingale methods in option pricing
SN  - 9788847017801
U1  - 332.6450151 
PY  - 2011///
CY  - Milan
PB  - Springer
KW  - Options (Finance)
KW  -  Prices
KW  -  Mathematics 2. Arbitrage
KW  -  Mathematical models 3. Martingales (Mathematics) 4. Differential equations, Partial
N1  - 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 Levy processes and Malliavin calculus
ER  -