TY  - BOOK
AU  - Musiela,Marek
AU  - Rutkowski,Marek
TI  - Martingale methods in financial modelling
T2  - Stochastic modelling and applied probability,
SN  - 3540209662
AV  - HG6024.A3 .M87 2005
U1  - 332.015118 22
PY  - 2005///]
CY  - Berlin, New York
PB  - Springer
KW  - Options (Finance)
KW  - Mathematical models
KW  - Derivative securities
KW  - Interest rates
KW  - Fixed-income securities
KW  - Finance
N1  - 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
N2  - "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
ER  -