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Pde And Martingale Methods In Option Pricing (Bocconi & Springer Series)
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Pde And Martingale Methods In Option Pricing (Bocconi & Springer Series)

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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 ...more
Hardcover, 719 pages
Published December 28th 2010 by Springer
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