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PDE and Martingale Methods in Option Pricing

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Cover of 'PDE and Martingale Methods in Option Pricing'

Table of Contents

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    Book Overview
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    Chapter 1 Derivatives and arbitrage pricing
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    Chapter 2 Discrete market models
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    Chapter 3 Continuous-time stochastic processes
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    Chapter 4 Brownian integration
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    Chapter 5 Itô calculus
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    Chapter 6 Parabolic PDEs with variable coefficients: uniqueness
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    Chapter 7 Black-Scholes model
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    Chapter 8 Parabolic PDEs with variable coefficients: existence
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    Chapter 9 Stochastic differential equations
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    Chapter 10 Continuous market models
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    Chapter 11 American options
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    Chapter 12 Numerical methods
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    Chapter 13 Introduction to Lévy processes
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    Chapter 14 Stochastic calculus for jump processes
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    Chapter 15 Fourier methods
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    Chapter 16 Elements of Malliavin calculus
Attention for Chapter 13: Introduction to Lévy processes
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