No-Arbitrage Pricing: Analytical and Numerical Methods

Svetlana Boyarchenko, Sergey Levendorskiy

August 26, 2013 by Chapman and Hall/CRC
Reference - 356 Pages - 50 B/W Illustrations
ISBN 9781420078985 - CAT# C7898
Series: Chapman and Hall/CRC Financial Mathematics Series

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Features

  • Demonstrates the importance of an analytical viewpoint when studying pricing and hedging
  • Develops efficient numerical methods based on the analysis
  • Provides analytical tools and shows how to apply these to important situations in financial engineering
  • Covers the Black–Scholes equation, Bermudan options, American options, and more
  • Summary

    No-Arbitrage Pricing: Analytical and Numerical Methods demonstrates the importance of an analytical viewpoint for the theoretical analysis of pricing and hedging of options and other contingent claims. The authors illustrate that the majority of processes used in finance and mathematical finance are sufficiently regular; therefore, many efficient analytical tools are applicable. They also provide guidance for the development of efficient numerical methods and show how to apply these tools to several situations that are important in financial engineering and mathematical finance. Topics covered include the Black–Scholes equation and the eigenfunction expansion method.