Mathematical Modeling And Methods Of Option Pricing - Hardcover

Jiang, Lishang

 
9789812563699: Mathematical Modeling And Methods Of Option Pricing
Hardcover
ISBN 10: 9812563695 ISBN 13: 9789812563699
Publisher: World Scientific Publishing Co Pte Ltd, 2005

Synopsis

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.

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Review

....... I recommend this book most enthusiastically to every practitioner or student of financial mathematics....suitable as a textbook for a graduate course in financial mathematics....

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Publisher
World Scientific Publishing Co Pte Ltd
Publication date
2005
Language
English
ISBN 10 
9812563695
ISBN 13 
9789812563699
Binding
Hardcover
Number of pages
344