The 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 deals with simple discrete models of financial markets, including the Cox-Ross-Rubinstein binomial model. No knowledge of probability and stochast
Martingale methods in financial modeling
โ Scribed by Marek Musiela, Marek Rutkowski
- Publisher
- Springer
- Year
- 2008
- Tongue
- English
- Leaves
- 646
- Series
- Stochastic Modelling and Applied Probability
- Edition
- 2nd
- Category
- Library
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
<p><P>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 cont
<P>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. T
A new edition of a successful, well-established book that provides the reader with a text focused on practical rather than theoretical aspects of financial modelling Includes a new chapter devoted to volatility risk The theme of stochastic volatility reappears systematically and has been revised fun