PDE and martingale methods in option pricing / Andrea Pascucci
Type de document : Livre numériqueCollection : Bocconi & Springer series, 2Langue : anglais.Éditeur : Milan : Springer, 2011ISBN: 9788847017801.ISSN: 2039-1471.Sujet MSC : 91-02, Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance91G80, Actuarial science and mathematical finance, Financial applications of other theories
35K10, PDEs - Parabolic equations and parabolic systems, Second-order parabolic equations
60G44, Probability theory and stochastic processes, Martingales with continuous parameter
60H30, Probability theory and stochastic processes - Stochastic analysis, Applications of stochastic analysis (to PDEs, etc.)En-ligne : Springerlink | MSN | zbMath
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