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.
Reviews
"It offers an excellent coverage of the PDE methods in financial mathematics, including free boundary problems (for American options) and optimal control, i.e. inverse problems (for implied volatility) ... I recommend this book most enthusiastically to every practitioner or student of financial mathematics. Also, the book is suitable as a textbook for a graduate course in financial mathematics, especially if complemented with some other text for a wider coverage." Mathematical Reviews



Book Information
ISBN 9789812563699
Author Lishang Jiang
Format Hardback
Page Count 344
Imprint World Scientific Publishing Co Pte Ltd
Publisher World Scientific Publishing Co Pte Ltd