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Option Pricing Mathematical Models and Computation.pdf
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| 弄混了，在此传了两本书，一本是Option Pricing Mathematical Models and Computation 个人感觉这本书不错，我做毕业论文的时候用过后半部分，文件还算清晰 Hardcover: 457 pages Publisher: Oxford Financial Press; illustrated edition edition (May 1, 1994) Language: English ISBN-10: 0952208202 ISBN-13: 978-0952208204 Product Dimensions: 9.2 x 6.3 x 1.3 inches Shipping Weight: 2.2 pounds Average Customer Review: 4.5 out of 5 stars See all reviews(4 customer reviews) Summary: Outstanding book! Rating: 5 An extremely well written, readable and thorough book. Worth every penny Summary: A good textbook for beginers. Rating: 3 This book is a very good textbook for beginers, especially mathematicians or physicists with PDE backgroud. Unfortunately, PDE is not a cure-all. It may be cumbersome in many cases. Like most research papers by the same authors, it lacks diversity. Summary: Comprehensive, very readable guide to option pricing Rating: 5 This book offers very comprehensive review of a wide variety of different types of options and different approaches to evaludate the price. The mathematical side is clearly explained and it does not require extensive knowledge of probability theory. It gives deeper coverage of exotic options compared to other books on the same topic. Summary: excelent, readable, practical Rating: 5 This book is excelent. Style is very practical, very readable. Not only formulas are derived, but also mathematical ideas behind are explained. The book is very result-oriented, i.e. after reading it you will know some math methods. Book requires just a minitial knowledge of math, (college level - integrals, partial derivatives), some knowledge of theory of probability, no prior knowledge of stochastic calculus, and no prior knowledge of finance. Good for a physicist learning finance. 一本是是Stochastic Calculus of Variations in Mathematical Finance 【作 者】Malliavin, Paul/ Thalmaier, Anton |
| 【出 版 社】 Springer Verlag |
| 【上架时间】 2008-3-31 |
| 【出版日期】 2005 年8月 【页 码】 142 【内容简介】Malliavin calculus provides an infinite-dimensional differential calculus in the context of continuous paths stochastic processes. The calculus includes formulae of integration by parts and Sobolev spaces of differentiable functions defined on a probability space. This new book, demonstrating the relevance of Malliavin calculus for Mathematical Finance, starts with an exposition from scratch of this theory. Greeks (price sensitivities) are reinterpreted in terms of Malliavin calculus. Integration by parts formulae provide stable Monte Carlo schemes for numerical valuation of digital options. Finite-dimensional projections of infinite-dimensional Sobolev spaces lead to Monte Carlo computations of conditional expectations useful for computing American options. The discretization error of the Euler scheme for a stochastic differential equation is expressed as a generalized Watanabe distribution on the Wiener space. Insider information is expressed as an infinite-dimensional drift. The last chapter gives an introduction to the same objects in the context of jump processes where incomplete markets appear. 【目录信息】1 Gaussian Stochastic Calculus of Variations 1.1 Finite-Dimensional Gaussian Spaces, Hermite Expansion 1.2 Wiener Space as Limit of its Dyadic Filtration 1.3 Stroock-Sobolev Spaces of Functionals on Wiener Space 1.4 Divergence of Vector Fields, Integration by Parts 1.5 It6's Theory of Stochastic Integrals 1.6 Differential and Integral Calculus in Chaos Expansion 1.7 Monte-Carlo Computation of Divergence 2 Computation of Greeks and Integration by Parts Formulae 2.1 PDE Option Pricing; PDEs Governing the Evolution of Greeks 2.2 Stochastic Flow of Diffeomorphisms; Ocone-Karatzas Hedging 2.3 Principle of Equivalence of Instantaneous Derivatives 2.4 Pathwise Smearing for European Options 2.5 Examples of Computing Pathwise Weights 2.6 Pathwise Smearing for Barrier Option 3 Market Equilibrium and Price-Volatility Feedack Rate 3.1 Natural Metric Associated to Pathwise Smearing 3.2 Price-Volatility Feedback Rate 3.3 Measurement of the Price-Volatility Feedback Rate 详细目录信息请见：http://www.china-pub.com/computers/common/Catalog.asp?type=1&IDD=2051204&shuming=Stochastic%20Calculus%20of%20Variations%20in%20Mathematical%20Finance |
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