Wow! eBook
MATHEMATICAL MODELING AND METHODS OF OPTION PRICING
Author(s): Lishang Jiang (Author)
- Publisher: World Scientific Publishing Co Pte Ltd
- Publication Date: 20 July 2005
- Edition: Illustrated
- Language: English
- Print length: 344 pages
- ISBN-10: 9812563695
- ISBN-13: 9789812563699
Book Description
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.
Editorial Reviews
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….
