Martingale Methods in Financial Modelling
Edition: 2nd 2005 (Revised)
List price: $109.00
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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 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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All the information you need in one place! Each Study Brief is a summary of one specific subject; facts, figures, and explanations to help you learn faster.
List price: $109.00
Copyright year: 2005
Publication date: 10/28/2008
Size: 6.50" wide x 9.25" long x 1.75" tall
|An Introduction to Financial Derivatives|
|The Cox-Ross-Rubinstein Model|
|Finite Security Markets|
|The Black-Scholes Model|
|Foreign Market Derivatives|
|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|
|Appendices: Conditional Expectations, Ita' Stochastic Calculus|