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Martingale methods in financial modelling / Marek Musiela, Marek Rutkowski.

By: Contributor(s): Material type: TextTextSeries: Stochastic modelling and applied probability ; 36.Publisher: Berlin ; New York : Springer, [2005]Copyright date: ©2005Edition: Second editionDescription: xvi, 636 pages ; 24 cmContent type:
  • text
Media type:
  • unmediated
Carrier type:
  • volume
ISBN:
  • 3540209662
  • 9783540209669
Subject(s): DDC classification:
  • 332.015118 22
LOC classification:
  • HG6024.A3 .M87 2005
Contents:
Pt. I. Spot and futures markets -- 1. An introduction to financial derivatives -- 2. Discrete-time security markets -- 3. Benchmark models in continuous time -- 4. Foreign market derivatives -- 5. American options -- 6. Exotic options -- 7. Volatility risk -- 8. Continuous-time security markets -- Pt. II. Fixed-income markets -- 9. Interest rates and related contracts -- 10. Short-term rate models -- 11. Models of instantaneous forward rates -- 12. Market LIBOR models -- 13. Alternative market models -- 14. Cross-currency derivatives -- Pt. III. Appendices -- A. Conditional expectations -- B. Ito stochastic calculus.
Review: "This book provides a comprehensive, self-contained and up-to-date treatment of the main topics in the theory of option pricing. The first part of the text starts with discrete-time models of financial markets, including the Cox-Ross-Rubinstein binomial model. The passage from discrete- to continuous-time models, done in the Black-Scholes model setting, assumes familiarity with basic ideas and results from stochastic calculus. However, an Appendix containing all the necessary results is included." "This new edition of a well-established book, concentrating on the most pertinent and widely accepted modelling approaches, provides the reader with a text focused on the practical rather than the theoretical aspects of financial modelling."--BOOK JACKET.
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Holdings
Item type Current library Call number Copy number Status Date due Barcode
Book City Campus City Campus Main Collection 332.015118 MUS (Browse shelf(Opens below)) 1 Available A265045B

Includes bibliographical references (pages 583-629) and index.

Pt. I. Spot and futures markets -- 1. An introduction to financial derivatives -- 2. Discrete-time security markets -- 3. Benchmark models in continuous time -- 4. Foreign market derivatives -- 5. American options -- 6. Exotic options -- 7. Volatility risk -- 8. Continuous-time security markets -- Pt. II. Fixed-income markets -- 9. Interest rates and related contracts -- 10. Short-term rate models -- 11. Models of instantaneous forward rates -- 12. Market LIBOR models -- 13. Alternative market models -- 14. Cross-currency derivatives -- Pt. III. Appendices -- A. Conditional expectations -- B. Ito stochastic calculus.

"This book provides a comprehensive, self-contained and up-to-date treatment of the main topics in the theory of option pricing. The first part of the text starts with discrete-time models of financial markets, including the Cox-Ross-Rubinstein binomial model. The passage from discrete- to continuous-time models, done in the Black-Scholes model setting, assumes familiarity with basic ideas and results from stochastic calculus. However, an Appendix containing all the necessary results is included." "This new edition of a well-established book, concentrating on the most pertinent and widely accepted modelling approaches, provides the reader with a text focused on the practical rather than the theoretical aspects of financial modelling."--BOOK JACKET.

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