Martingale Methods in Financial Modelling

ISBN-10: 3540209662
ISBN-13: 9783540209669
Edition: 2nd 2005 (Revised)
List price: $109.00 Buy it from $105.23
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Description: In the 2nd edition some sections of Part I are omitted for better readability, and a brand new chapter is devoted to volatility risk. As a consequence, hedging of plain-vanilla options and valuation of exotic options are no longer limited to the  More...

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Book details

List price: $109.00
Edition: 2nd
Copyright year: 2005
Publisher: Springer
Publication date: 10/28/2008
Binding: Hardcover
Pages: 638
Size: 6.50" wide x 9.25" long x 1.75" tall
Weight: 2.398
Language: English

In the 2nd edition some sections of Part I are omitted for better readability, and a brand new chapter is devoted to volatility risk. As a consequence, hedging of plain-vanilla options and valuation of exotic options are no longer limited to the Black-Scholes framework with constant volatility.  The theme of stochastic volatility also reappears systematically in the second part of the book, which has been revised fundamentally, presenting much more detailed analyses of the various interest-rate models available: the authors' perspective throughout is that the choice of a model should be based on the reality of how a particular sector of the financial market functions, never neglecting to examine liquid primary and derivative assets and identifying the sources of trading risk associated. This long-awaited new edition of an outstandingly successful, well-established book, concentrating on the most pertinent and widely accepted modelling approaches, provides the reader with a text focused on practical rather than theoretical aspects of financial modelling.

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An Introduction to Financial Derivatives
The Cox-Ross-Rubinstein Model
Finite Security Markets
The Black-Scholes Model
Foreign Market Derivatives
Americal Options
Exotic Options
Continuous-time Security Markets
Interest Rates and Related Contracts
Models of the Short-term Rate
Models of Instantaneous Forward Rates
Models of Bond Prices and LIBOR Rates
Option Valuation in Gaussian Models
Swap Derivatives
Cross-currency Derivatives
Appendices: Conditional Expectations, Ita' Stochastic Calculus

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