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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 29,518 ratings · 3,513 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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Andrea Pascucci
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Andrea Pascucci writes contemporary fiction and has always been fascinated by character-driven stories. They hold a degree in English Literature and previously worked as an editor before transitioning to writing their own books. Andrea Pascucci lives with their spouse and a very vocal rescue cat.

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William Garcia
William Garcia June 14, 2024
Honestly one of the most premium reading experiences lately. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. I am now a lifelong fan of this author.
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Masterpiece from start to finish. The author orchestrated a breathtaking finale. Truly a work of art. An effortless 5 stars.
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Honestly one of the most premium reading experiences lately. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. A true literary gem.
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Masterpiece from start to finish. The author orchestrated a breathtaking finale. Truly a work of art. A true literary gem.
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A highly sophisticated read. Beautiful writing, though I craved slightly more depth in the lore. Still, undeniably engaging. A wonderful companion for a quiet weekend.
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A profoundly satisfying read. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. I am now a lifelong fan of this author.
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A profoundly satisfying read. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. I am now a lifelong fan of this author.
Donna  Parker
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Donna Martin December 07, 2024
A decent, if standard, experience. The prose was competent, yet the characters lacked the depth I usually seek. Suitable if your reading queue is empty.
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Barbara Taylor May 06, 2024
I find myself somewhat conflicted. It possessed moments of brilliance, but the narrative felt slightly disjointed ultimately. Perhaps more aligned with a different audience's tastes.
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Susan Green May 13, 2025
Masterpiece from start to finish. The author orchestrated a breathtaking finale. Truly a work of art. An effortless 5 stars.
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Such a rich narrative. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. An absolute must-read for connoisseurs of the genre.
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Honestly one of the most premium reading experiences lately. 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. I became deeply invested in the protagonist's journey. A masterclass in storytelling. Worth every moment spent reading.
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Absolutely brilliant. I became deeply invested in the protagonist's journey. A masterclass in storytelling. A true literary gem.
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Such a rich narrative. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. An absolute must-read for connoisseurs of the genre.
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I thoroughly enjoyed the elegance of it. The middle had a deliberate pace, but the climax was phenomenal. I would highly recommend this to discerning readers.
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Nancy Reyes February 17, 2024
Honestly one of the most premium reading experiences lately. The prose is exquisite. It’s accessible yet undeniably sophisticated. An effortless 5 stars.
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I thoroughly enjoyed the elegance of it. The protagonist was compelling, though some subplots felt slightly overshadowed. Quite impressive overall.
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Masterpiece from start to finish. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. I will undoubtedly revisit this masterpiece.
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Honestly one of the most premium reading experiences lately. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. I will undoubtedly revisit this masterpiece.
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Masterpiece from start to finish. The author orchestrated a breathtaking finale. Truly a work of art. I am now a lifelong fan of this author.
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A very strong entry. The protagonist was compelling, though some subplots felt slightly overshadowed. A wonderful companion for a quiet weekend.
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Absolutely brilliant. I became deeply invested in the protagonist's journey. A masterclass in storytelling. An absolute must-read for connoisseurs of the genre.
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Exceeded all my expectations. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. A true literary gem.
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Such a rich narrative. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. Worth every moment spent reading.
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Masterpiece from start to finish. I became deeply invested in the protagonist's journey. A masterclass in storytelling. An absolute must-read for connoisseurs of the genre.
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Honestly one of the most premium reading experiences lately. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. An effortless 5 stars.
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Absolutely brilliant. The prose is exquisite. It’s accessible yet undeniably sophisticated. An effortless 5 stars.
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Absolutely brilliant. I adored how the story unfolded. It kept me captivated without sacrificing elegance. An absolute must-read for connoisseurs of the genre.
Laura Collins
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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. Quite impressive overall.
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I was completely blown away. The prose is exquisite. It’s accessible yet undeniably sophisticated. 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. An absolute must-read for connoisseurs of the genre.
Joseph Hall
Joseph Hall May 11, 2024
Such a rich narrative. The prose is exquisite. It’s accessible yet undeniably sophisticated. An effortless 5 stars.
Cynthia Martin
Cynthia Martin March 02, 2025
Exceeded all my expectations. I became deeply invested in the protagonist's journey. A masterclass in storytelling. Worth every moment spent reading.
Joseph Hall
Joseph Hall August 03, 2024
It was adequate. The tempo was somewhat languid, and I found my mind wandering. Not poor, simply average. Suitable if your reading queue is empty.
Charles Green
Charles Green January 22, 2024
Excellent, though slightly flawed. A brilliant concept executed with flair. Just a few pacing choices I would change. A very distinguished novel.
Matthew Ramirez
Matthew Ramirez March 20, 2025
I thoroughly enjoyed the elegance of it. A brilliant concept executed with flair. Just a few pacing choices I would change. A wonderful companion for a quiet weekend.
Christopher Scott
Christopher Scott October 30, 2025
Took a moment to build, but the payoff was spectacular. The middle had a deliberate pace, but the climax was phenomenal. A solid 4 stars from me.
Brian Jackson
Brian Jackson October 16, 2025
A highly sophisticated read. A brilliant concept executed with flair. Just a few pacing choices I would change. Quite impressive overall.
Cynthia Hall
Cynthia Hall February 27, 2025
A profoundly satisfying read. The author orchestrated a breathtaking finale. Truly a work of art. Worth every moment spent reading.
Patricia Rodriguez
Patricia Rodriguez June 21, 2025
Exceeded all my expectations. The prose is exquisite. It’s accessible yet undeniably sophisticated. An absolute must-read for connoisseurs of the genre.
Karen Perez
Karen Perez August 20, 2024
I was completely blown away. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. An effortless 5 stars.
Sarah Scott
Sarah Scott May 12, 2024
Absolutely brilliant. I adored how the story unfolded. It kept me captivated without sacrificing elegance. A true literary gem.
Richard Robinson
Richard Robinson May 18, 2024
Absolutely brilliant. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. A true literary gem.
George Roberts
George Roberts December 06, 2024
Honestly one of the most premium reading experiences lately. I became deeply invested in the protagonist's journey. A masterclass in storytelling. A true literary gem.
Betty Thomas
Betty Thomas April 30, 2024
Excellent, though slightly flawed. Beautiful writing, though I craved slightly more depth in the lore. Still, undeniably engaging. A wonderful companion for a quiet weekend.
Karen Edwards
Karen Edwards July 09, 2025
I thoroughly enjoyed the elegance of it. Beautiful writing, though I craved slightly more depth in the lore. Still, undeniably engaging. A solid 4 stars from me.
Joseph Gonzalez
Joseph Gonzalez June 04, 2025
An acceptable diversion. The prose was competent, yet the characters lacked the depth I usually seek. A fair 3 stars.
Cynthia Hall
Cynthia Hall October 01, 2024
Absolutely brilliant. I adored how the story unfolded. It kept me captivated without sacrificing elegance. A true literary gem.
Christopher Lopez
Christopher Lopez November 05, 2024
I find myself somewhat conflicted. The prose was competent, yet the characters lacked the depth I usually seek. A fair 3 stars.
Ryan Cruz
Ryan Cruz July 19, 2025
Excellent, though slightly flawed. The protagonist was compelling, though some subplots felt slightly overshadowed. A very distinguished novel.
Betty Gomez
Betty Gomez January 21, 2024
Masterpiece from start to finish. The author orchestrated a breathtaking finale. Truly a work of art. A true literary gem.
Susan Green
Susan Green June 22, 2024
A profoundly satisfying read. The author orchestrated a breathtaking finale. Truly a work of art. Worth every moment spent reading.
Ryan Clark
Ryan Clark December 30, 2025
Absolutely brilliant. The prose is exquisite. It’s accessible yet undeniably sophisticated. An effortless 5 stars.
Jennifer Garcia
Jennifer Garcia May 02, 2024
Took a moment to build, but the payoff was spectacular. It held my rapt attention, even when certain twists were telegraphed. A wonderful companion for a quiet weekend.
Kimberly Ramirez
Kimberly Ramirez January 05, 2024
Absolutely brilliant. I became deeply invested in the protagonist's journey. A masterclass in storytelling. I will undoubtedly revisit this masterpiece.
Karen  Parker
Karen Parker April 06, 2025
Honestly one of the most premium reading experiences lately. I adored how the story unfolded. It kept me captivated without sacrificing elegance. I am now a lifelong fan of this author.
Kimberly Cruz
Kimberly Cruz January 14, 2024
Such a rich narrative. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. A true literary gem.
Ryan Martin
Ryan Martin May 23, 2024
Masterpiece from start to finish. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. An absolute must-read for connoisseurs of the genre.
Jacob White
Jacob White March 20, 2024
A very strong entry. A brilliant concept executed with flair. Just a few pacing choices I would change. I would highly recommend this to discerning readers.
Andrew Clark
Andrew Clark June 17, 2024
A very strong entry. Beautiful writing, though I craved slightly more depth in the lore. Still, undeniably engaging. A very distinguished novel.
Betty Wilson
Betty Wilson March 09, 2024
Took a moment to build, but the payoff was spectacular. Beautiful writing, though I craved slightly more depth in the lore. Still, undeniably engaging. A very distinguished novel.
Donald Martin
Donald Martin May 16, 2025
Took a moment to build, but the payoff was spectacular. It held my rapt attention, even when certain twists were telegraphed. A very distinguished novel.
Melissa Martin
Melissa Martin May 15, 2025
Masterpiece from start to finish. I became deeply invested in the protagonist's journey. A masterclass in storytelling. An effortless 5 stars.
Lisa Green
Lisa Green December 14, 2024
Masterpiece from start to finish. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. I will undoubtedly revisit this masterpiece.
Barbara Turner
Barbara Turner October 30, 2024
Absolutely brilliant. I adored how the story unfolded. It kept me captivated without sacrificing elegance. I will undoubtedly revisit this masterpiece.
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