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PDE and Martingale Methods in Option Pricing (Bocconi & Springer Series)

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PDE and Martingale Methods in Option Pricing (Bocconi & Springer Series)

4.85 80,612 ratings · 2,801 reviews
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Overview: This book offers an introduction to the mathematical, probabilistic and numerical methods used in the modern theory of option pricing. The text is designed for readers with a basic mathematical background. The first part contains a presentation of the arbitrage theory in discrete time. In the second part, the theories of stochastic calculus and parabolic PDEs are developed in detail and the classical arbitrage theory is analyzed in a Markovian setting by means of of PDEs techniques. After the martingale representation theorems and the Girsanov theory have been presented, arbitrage pricing is revisited in the martingale theory optics. General tools from PDE and martingale theories are also used in the analysis of volatility modeling. The book also contains an Introduction to Lévy processes and Malliavin calculus. The last part is devoted to the description of the numerical methods used in option pricing: Monte Carlo, binomial trees, finite differences and Fourier transform.

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Published December 28, 2010
ISBN 11599825
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After spending years working in the corporate world, Andrea Pascucci finally decided to pursue a lifelong passion for writing. They currently reside in a quiet suburb where they spend most of their time outlining new stories, reading extensively, and occasionally attempting to bake.

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Stephanie Perez
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Took a moment to build, but the payoff was spectacular. Beautiful writing, though I craved slightly more depth in the lore. Still, undeniably engaging. I would highly recommend this to discerning readers.
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Masterpiece from start to finish. I became deeply invested in the protagonist's journey. A masterclass in storytelling. An effortless 5 stars.
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Such a rich narrative. The author orchestrated a breathtaking finale. Truly a work of art. An effortless 5 stars.
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Masterpiece from start to finish. I adored how the story unfolded. It kept me captivated without sacrificing elegance. An absolute must-read for connoisseurs of the genre.
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Absolutely brilliant. The author orchestrated a breathtaking finale. Truly a work of art. I am now a lifelong fan of this author.
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Masterpiece from start to finish. I became deeply invested in the protagonist's journey. A masterclass in storytelling. I will undoubtedly revisit this masterpiece.
Kimberly Gonzalez
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Not entirely to my refined tastes. The tempo was somewhat languid, and I found my mind wandering. Not poor, simply average. Suitable if your reading queue is empty.
Joshua Taylor
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Took a moment to build, but the payoff was spectacular. A brilliant concept executed with flair. Just a few pacing choices I would change. A wonderful companion for a quiet weekend.
Dorothy Adams
Dorothy Adams August 30, 2025
Honestly one of the most premium reading experiences lately. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. A true literary gem.
Matthew Young
Matthew Young July 03, 2024
I thoroughly enjoyed the elegance of it. It held my rapt attention, even when certain twists were telegraphed. A solid 4 stars from me.
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I thoroughly enjoyed the elegance of it. A brilliant concept executed with flair. Just a few pacing choices I would change. Quite impressive overall.
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Exceeded all my expectations. I adored how the story unfolded. It kept me captivated without sacrificing elegance. I am now a lifelong fan of this author.
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Masterpiece from start to finish. The prose is exquisite. It’s accessible yet undeniably sophisticated. An effortless 5 stars.
Donald Turner
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I thoroughly enjoyed the elegance of it. Beautiful writing, though I craved slightly more depth in the lore. Still, undeniably engaging. A very distinguished novel.
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I was completely blown away. The prose is exquisite. It’s accessible yet undeniably sophisticated. An absolute must-read for connoisseurs of the genre.
Joshua Lopez
Joshua Lopez January 27, 2024
Exceeded all my expectations. The author orchestrated a breathtaking finale. Truly a work of art. I will undoubtedly revisit this masterpiece.
Donald Turner
Donald Turner May 22, 2025
A highly sophisticated read. A brilliant concept executed with flair. Just a few pacing choices I would change. A very distinguished novel.
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A very strong entry. The middle had a deliberate pace, but the climax was phenomenal. A solid 4 stars from me.
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Margaret Garcia November 26, 2024
A profoundly satisfying read. The prose is exquisite. It’s accessible yet undeniably sophisticated. A true literary gem.
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Margaret Garcia September 22, 2024
A highly sophisticated read. It held my rapt attention, even when certain twists were telegraphed. Quite impressive overall.
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Took a moment to build, but the payoff was spectacular. It held my rapt attention, even when certain twists were telegraphed. I would highly recommend this to discerning readers.
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A highly sophisticated read. A brilliant concept executed with flair. Just a few pacing choices I would change. A wonderful companion for a quiet weekend.
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A very strong entry. A brilliant concept executed with flair. Just a few pacing choices I would change. A very distinguished novel.
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Took a moment to build, but the payoff was spectacular. A brilliant concept executed with flair. Just a few pacing choices I would change. I would highly recommend this to discerning readers.
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Masterpiece from start to finish. The author orchestrated a breathtaking finale. Truly a work of art. An absolute must-read for connoisseurs of the genre.
Michael King
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Such a rich narrative. I became deeply invested in the protagonist's journey. A masterclass in storytelling. Worth every moment spent reading.
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Exceeded all my expectations. I became deeply invested in the protagonist's journey. A masterclass in storytelling. I am now a lifelong fan of this author.
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Such a rich narrative. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. An effortless 5 stars.
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I was completely blown away. I became deeply invested in the protagonist's journey. A masterclass in storytelling. An effortless 5 stars.
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John Nelson February 26, 2024
Honestly one of the most premium reading experiences lately. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. Worth every moment spent reading.
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