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1、ToCamillaWhatgoodisitforamantogainthewholeworld,yetforfeithislife?Mc.8,36AndreaPascucciPDEandMartingaleMethodsinOptionPricingAndreaPascucciDepartmentofMathematicsUniversityofBolognaandrea.pascucci@unibo.itB&SS–Bocconi&SpringerSeriesISSNprintedition:2
2、039-1471ISSNelectronicedition:2039-148XISBN978-88-470-1780-1e-ISBN978-88-470-1781-8DOI10.1007/978-88-470-1781-8LibraryofCongressControlNumber:2010929483SpringerMilanDordrechtHeidelbergLondonNewYork©Springer-VerlagItalia2011Thisworkissubjecttocopyrigh
3、t.Allrightsarereserved,whetherthewholeorpartofthematerialisconcerned,specificallytherightsoftranslation,reprinting,reuseofillustrations,recitation,broad-casting,reproductiononmicrofilmsorinotherways,andstorageindatabanks.Duplicationofthispublicationo
4、rpartsthereofispermittedonlyundertheprovisionsoftheItalianCopyrightLawinitscurrentversion,andpermissionforusemustalwaysbeobtainedfromSpringer.ViolationsareliabletoprosecutionundertheItalianCopyrightLaw.Theuseofgeneraldescriptivenames,registerednames,
5、trademarks,etc.inthispublicationdoesnotimply,evenintheabsenceofaspecificstatement,thatsuchnamesareexemptfromtherelevantprotectivelawsandregulationsandthereforefreeforgeneraluse.987654321Cover-Design:KDesign,HeidelbergTypesettingwithLATEX:PTP-Berlin,P
6、rotagoTEX-ProductionGmbH,Germany(www.ptp-berlin.eu)PrintingandBinding:GrafichePorpora,Segrate(Mi)PrintedinItalySpringer-VerlagItaliasrl–ViaDecembrio28–20137MilanoSpringerisapartofSpringerScience+BusinessMedia(www.springer.com)PrefaceThisbookgivesanin
7、troductiontothemathematical,probabilisticandnu-mericalmethodsusedinthemoderntheoryofoptionpricing.Itisintendedasatextbookforgraduateandadvancedundergraduatestudents,butIhopeitwillbeusefulalsoforresearchersandprofessionalsinthefinancialindustry.Stochas
8、ticcalculusanditsapplicationstothearbitragepricingoffinancialderivativesformthemaintheme.Inpresentingthese,bynowclassic,topics,theemphasisisputonthemorequantitativeratherthaneconomicaspects.Beingawarethattheliteratureinthisfieldishuge,Imentionthefollow
