オプション･プライシングにおけるPDEとマルチンゲール法
PDE and Martingale Methods in Option Pricing
Bocconi and Springer Series
Pascucci, A.
- 出版社：Springer
- 出版年月：2010年 09月
- ISBN：9788847017801
- 装丁：HRD
-
装丁について
- 言語：ENG
- 巻数・ページ数：570 p.
- DDC分類：511
- 内容紹介：
-
Designed for readers with a basic mathematical background, it contains full treatment of arbitrage theory in discrete and continuous time, as well as self-contained introduction to advanced methods (Malliavin calculus, Levy processes, Fourier methods, etc).