PDE and Martingale Methods in Option Pricing

Authors:

ISBN: 978-88-470-1780-1 (Print) 978-88-470-1781-8 (Online)

Table of contents (16 chapters)

  1. Front Matter

    Pages I-XVII

  2. Chapter

    Pages 1-13

    Derivatives and arbitrage pricing

  3. Chapter

    Pages 15-96

    Discrete market models

  4. Chapter

    Pages 97-137

    Continuous-time stochastic processes

  5. Chapter

    Pages 139-166

    Brownian integration

  6. Chapter

    Pages 167-201

    Itô calculus

  7. Chapter

    Pages 203-217

    Parabolic PDEs with variable coefficients: uniqueness

  8. Chapter

    Pages 219-256

    Black-Scholes model

  9. Chapter

    Pages 257-274

    Parabolic PDEs with variable coefficients: existence

  10. Chapter

    Pages 275-328

    Stochastic differential equations

  11. Chapter

    Pages 329-387

    Continuous market models

  12. Chapter

    Pages 389-401

    American options

  13. Chapter

    Pages 403-428

    Numerical methods

  14. Chapter

    Pages 429-495

    Introduction to Lévy processes

  15. Chapter

    Pages 497-540

    Stochastic calculus for jump processes

  16. Chapter

    Pages 541-576

    Fourier methods

  17. Chapter

    Pages 577-597

    Elements of Malliavin calculus

  18. Back Matter

    Pages 599-719