Mathematical Modeling And Methods Of Option Pricing

Author : Lishang Jiang
Publisher : World Scientific Publishing Company
ISBN 13 : 9813106557
Total Pages : 344 pages
Book Rating : 4.50/5 ( download)

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Download or read book Mathematical Modeling And Methods Of Option Pricing written by Lishang Jiang and published by World Scientific Publishing Company. This book was released on 2005-07-18 with total page 344 pages. Available in PDF, EPUB and Kindle. Book excerpt: From the unique perspective of partial differential equations (PDE), this self-contained book presents a systematic, advanced introduction to the Black-Scholes-Merton's option pricing theory.A unified approach is used to model various types of option pricing as PDE problems, to derive pricing formulas as their solutions, and to design efficient algorithms from the numerical calculation of PDEs. In particular, the qualitative and quantitative analysis of American option pricing is treated based on free boundary problems, and the implied volatility as an inverse problem is solved in the optimal control framework of parabolic equations.

Author : Pierre Henry-Labordere
Publisher : CRC Press
ISBN 13 : 1420087002
Total Pages : 403 pages
Book Rating : 4.00/5 ( download)

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Download or read book Analysis, Geometry, and Modeling in Finance written by Pierre Henry-Labordere and published by CRC Press. This book was released on 2008-09-22 with total page 403 pages. Available in PDF, EPUB and Kindle. Book excerpt: Analysis, Geometry, and Modeling in Finance: Advanced Methods in Option Pricing is the first book that applies advanced analytical and geometrical methods used in physics and mathematics to the financial field. It even obtains new results when only approximate and partial solutions were previously available.Through the problem of option pricing, th

Author : Paul Wilmott
Publisher :
ISBN 13 : 9780952208204
Total Pages : 457 pages
Book Rating : 4.02/5 ( download)

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Download or read book Option Pricing written by Paul Wilmott and published by . This book was released on 1993 with total page 457 pages. Available in PDF, EPUB and Kindle. Book excerpt: Análisis de los diferentes modelos matemáticos aplicados a los precios de opción. Se estudian además los elementos matemáticos básicos necesarios para el análisis de la ecuación Black-Scholes.

Author : Yue-Kuen Kwok
Publisher : Springer Science & Business Media
ISBN 13 : 3540686886
Total Pages : 541 pages
Book Rating : 4.80/5 ( download)

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Download or read book Mathematical Models of Financial Derivatives written by Yue-Kuen Kwok and published by Springer Science & Business Media. This book was released on 2008-07-10 with total page 541 pages. Available in PDF, EPUB and Kindle. Book excerpt: This second edition, now featuring new material, focuses on the valuation principles that are common to most derivative securities. A wide range of financial derivatives commonly traded in the equity and fixed income markets are analysed, emphasising aspects of pricing, hedging and practical usage. This second edition features additional emphasis on the discussion of Ito calculus and Girsanovs Theorem, and the risk-neutral measure and equivalent martingale pricing approach. A new chapter on credit risk models and pricing of credit derivatives has been added. Up-to-date research results are provided by many useful exercises.

Author : Paul Wilmott
Publisher :
ISBN 13 :
Total Pages : 457 pages
Book Rating : 4.76/5 ( download)

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Download or read book Option Pricing written by Paul Wilmott and published by . This book was released on 1998 with total page 457 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Author : Lishang Jiang
Publisher : World Scientific
ISBN 13 : 9812563695
Total Pages : 344 pages
Book Rating : 4.99/5 ( download)

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Download or read book Mathematical Modeling and Methods of Option Pricing written by Lishang Jiang and published by World Scientific. This book was released on 2005 with total page 344 pages. Available in PDF, EPUB and Kindle. Book excerpt: From the perspective of partial differential equations (PDE), this book introduces the Black-Scholes-Merton's option pricing theory. A unified approach is used to model various types of option pricing as PDE problems, to derive pricing formulas as their solutions, and to design efficient algorithms from the numerical calculation of PDEs.

Author : Andrea Pascucci
Publisher : Springer Science & Business Media
ISBN 13 : 8847017815
Total Pages : 727 pages
Book Rating : 4.18/5 ( download)

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Download or read book PDE and Martingale Methods in Option Pricing written by Andrea Pascucci and published by Springer Science & Business Media. This book was released on 2011-04-15 with total page 727 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Author : Yves Achdou
Publisher : SIAM
ISBN 13 : 9780898717495
Total Pages : 315 pages
Book Rating : 4.93/5 ( download)

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Download or read book Computational Methods for Option Pricing written by Yves Achdou and published by SIAM. This book was released on 2005-01-01 with total page 315 pages. Available in PDF, EPUB and Kindle. Book excerpt: The authors review some important aspects of finance modeling involving partial differential equations and focus on numerical algorithms for the fast and accurate pricing of financial derivatives and for the calibration of parameters. This book explores the best numerical algorithms and discusses them in depth, from their mathematical analysis up to their implementation in C++ with efficient numerical libraries.

Author : Marek Capiński
Publisher : Cambridge University Press
ISBN 13 : 1107001692
Total Pages : 179 pages
Book Rating : 4.95/5 ( download)

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Download or read book The Black-Scholes Model written by Marek Capiński and published by Cambridge University Press. This book was released on 2012-09-13 with total page 179 pages. Available in PDF, EPUB and Kindle. Book excerpt: Master the essential mathematical tools required for option pricing within the context of a specific, yet fundamental, pricing model.

Author : Cornelis W Oosterlee
Publisher : World Scientific
ISBN 13 : 1786347962
Total Pages : 1310 pages
Book Rating : 4.61/5 ( download)

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Download or read book Mathematical Modeling And Computation In Finance: With Exercises And Python And Matlab Computer Codes written by Cornelis W Oosterlee and published by World Scientific. This book was released on 2019-10-29 with total page 1310 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book discusses the interplay of stochastics (applied probability theory) and numerical analysis in the field of quantitative finance. The stochastic models, numerical valuation techniques, computational aspects, financial products, and risk management applications presented will enable readers to progress in the challenging field of computational finance.When the behavior of financial market participants changes, the corresponding stochastic mathematical models describing the prices may also change. Financial regulation may play a role in such changes too. The book thus presents several models for stock prices, interest rates as well as foreign-exchange rates, with increasing complexity across the chapters. As is said in the industry, 'do not fall in love with your favorite model.' The book covers equity models before moving to short-rate and other interest rate models. We cast these models for interest rate into the Heath-Jarrow-Morton framework, show relations between the different models, and explain a few interest rate products and their pricing.The chapters are accompanied by exercises. Students can access solutions to selected exercises, while complete solutions are made available to instructors. The MATLAB and Python computer codes used for most tables and figures in the book are made available for both print and e-book users. This book will be useful for people working in the financial industry, for those aiming to work there one day, and for anyone interested in quantitative finance. The topics that are discussed are relevant for MSc and PhD students, academic researchers, and for quants in the financial industry.Supplementary Material:Solutions Manual is available to instructors who adopt this textbook for their courses. Please contact [email protected].