Martingale Methods in Financial Modelling

Name: Martingale Methods in Financial Modelling
Price: 107.64 USD
Availability: InStock
ISBN: 9783540209669

ISBN-10: 3540209662

ISBN-13: 9783540209669

Edition: 2nd 2005 (Revised)

Authors: Marek Musiela, Marek Rutkowski, Antonio Jose Engler

List price: $129.99

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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 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…

Book details

List price: $129.99
Edition: 2nd
Copyright year: 2005
Publisher: Springer Berlin / Heidelberg
Publication date: 11/25/2004
Binding: Hardcover
Pages: 720
Size: 6.10" wide x 9.25" long x 1.75" tall
Weight: 2.794

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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