Titlebook: Option Theory with Stochastic Analysis; An Introduction to M Fred Espen Benth Textbook 2004 Springer-Verlag Berlin Heidelberg 2004 Analysis

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Fred Espen BenthVery concise, requires only basic mathematical skills.Describes the basic assumptions (empirical finance) underlying option theory.Includes a big section on pricing using both pde-approach and marting

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Numerical Pricing and Hedging of Contingent Claims, hedged explicitly, for instance, call and put options. For path-dependent derivatives like barrier and average (Asian) options there does not exist any explicit formula, and a numerical approach is necessary to evaluate them. We will introduce techniques based on Monte Carlo simulations of the risk

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