PDE and Martingale Methods in Option Pricing

This detailed book offers an introduction to the mathematical, probabilistic and numerical methods used in the modern theory of option pricing. It includes a full treatment of arbitrage theory in discrete and continuous time.

Unified and detailed treatment of PDE and martingale methods in option pricing Full treatment of arbitrage theory in discrete and continuous time Self-contained introduction to advanced methods (Malliavin calculus, Levy processes, Fourier methods, etc) Includes supplementary material: sn.pub/extras

Autorentext
Andrea Pascucci is Professor of Mathematics at the University of Bologna where he is director of a master program in Quantitative Finance. His research interests include second order parabolic partial differential equations and stochastic analysis with applications to finance (pricing of European, American and Asian options).