MATHEMATICAL MODELING AND METHODS OF OPTION PRICING - Hardcover

Jiang, Lishang

Hardcover

ISBN 10: 9812563695 ISBN 13: 9789812563699

Publisher: World Scientific Publishing Company, 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.

About this title

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....

Edition details

• Publisher: World Scientific Publishing Company
• Publication date: 2005
• Language: English
• ISBN 10: 9812563695
• ISBN 13: 9789812563699
• Binding: Hardcover
• Number of pages: 344