Introduction to Martingale Methods in Option Pricing - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Introduction to Martingale Methods in Option Pricing write by Jia-An Yan. This book was released on 1998. Introduction to Martingale Methods in Option Pricing available in PDF, EPUB and Kindle.
PDE and Martingale Methods in Option Pricing
PDE and Martingale Methods in Option Pricing - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook PDE and Martingale Methods in Option Pricing write by Andrea Pascucci. This book was released on 2011-04-15. PDE and Martingale Methods in Option Pricing available in PDF, EPUB and Kindle. 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.
Martingale Methods in Financial Modelling
Martingale Methods in Financial Modelling - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Martingale Methods in Financial Modelling write by Marek Musiela. This book was released on 2013-06-29. Martingale Methods in Financial Modelling available in PDF, EPUB and Kindle. A comprehensive and self-contained treatment of the theory and practice of option pricing. The role of martingale methods in financial modeling is exposed. The emphasis is on using arbitrage-free models already accepted by the market as well as on building the new ones. Standard calls and puts together with numerous examples of exotic options such as barriers and quantos, for example on stocks, indices, currencies and interest rates are analysed. The importance of choosing a convenient numeraire in price calculations is explained. Mathematical and financial language is used so as to bring mathematicians closer to practical problems of finance and presenting to the industry useful maths tools.
Option Pricing in Incomplete Markets
Option Pricing in Incomplete Markets - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Option Pricing in Incomplete Markets write by Yoshio Miyahara. This book was released on 2012. Option Pricing in Incomplete Markets available in PDF, EPUB and Kindle. This volume offers the reader practical methods to compute the option prices in the incomplete asset markets. The [GLP & MEMM] pricing models are clearly introduced, and the properties of these models are discussed in great detail. It is shown that the geometric L(r)vy process (GLP) is a typical example of the incomplete market, and that the MEMM (minimal entropy martingale measure) is an extremely powerful pricing measure. This volume also presents the calibration procedure of the [GLP \& MEMM] model that has been widely used in the application of practical problem
Option Theory with Stochastic Analysis
Option Theory with Stochastic Analysis - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Option Theory with Stochastic Analysis write by Fred Espen Benth. This book was released on 2003-11-26. Option Theory with Stochastic Analysis available in PDF, EPUB and Kindle. This is a very basic and accessible introduction to option pricing, invoking a minimum of stochastic analysis and requiring only basic mathematical skills. It covers the theory essential to the statistical modeling of stocks, pricing of derivatives with martingale theory, and computational finance including both finite-difference and Monte Carlo methods.
