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PDE and Martingale Methods in Option Pricing (Bocconi & Springer Series) Hardcover – 28 Dec 2010

4.0 out of 5 stars 1 customer review

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Product details

  • Hardcover: 740 pages
  • Publisher: Springer; 2011 edition (28 Dec. 2010)
  • Language: English
  • ISBN-10: 8847017807
  • ISBN-13: 978-8847017801
  • Product Dimensions: 15.5 x 3.8 x 23.6 cm
  • Average Customer Review: 4.0 out of 5 stars  See all reviews (1 customer review)
  • Amazon Bestsellers Rank: 376,570 in Books (See Top 100 in Books)

Product Description


From the reviews:

“The author provides an excellent overview of methods from the theory of partial differential equations and stochastic processes used in mathematical finance. … The book is well written, the mathematical level is quite sophisticated and a broad range of material is covered. At the same time, there is a clear focus on applications. The book is therefore warmly recommended for graduate students as well as for professionals in the financial industry.” (Johan Tysk, Mathematical Reviews, Issue 2012 i)

“The book is written for graduate and advanced undergraduate students and gives an introduction to the modern theory of option pricing. … this book covers a wide range of topics with good motivations on a rigorous mathematical level.” (Sören Christensen, Zentralblatt MATH, Vol. 1214, 2011)

About the Author

Andrea Pascucci is Professor of Mathematics at the University of Bologna where he is director of a master program in Quantitative Finance. His research interests include second order parabolic partial differential equations and stochastic analysis with applications to finance (pricing of European, American and Asian options).

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Top Customer Reviews

Format: Hardcover Verified Purchase
I got the courses Financial Mathematics in Bologna by using this text. This teaching structured was organized quite well. That's why I want to buy this text for my reference and future use, though I transfer to another university in UK now.
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