Martingale methods in financial modelling / Marek Musiela, Marek Rutkowski.
Material type: TextSeries: Stochastic modelling and applied probability ; 36.Publisher: Berlin ; New York : Springer, [2005]Copyright date: ©2005Edition: Second editionDescription: xvi, 636 pages ; 24 cmContent type:- text
- unmediated
- volume
- 3540209662
- 9783540209669
- 332.015118 22
- HG6024.A3 .M87 2005
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 |
Browsing City Campus shelves, Shelving location: City Campus Main Collection Close shelf browser (Hides shelf browser)
332.015118 INT The international library of financial econometrics / | 332.015118 KNI Linear factor models in finance / | 332.015118 MAC The Fisher model and financial markets / | 332.015118 MUS Martingale methods in financial modelling / | 332.015118 SHI Finance in continuous time : a primer / | 332.01513 ROM Introduction to the mathematics of finance : from risk management to options pricing / | 332.01513 ROM Introduction to the mathematics of finance : arbitrage and option pricing / |
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.
Machine converted from AACR2 source record.
There are no comments on this title.