Martingale methods in financial modeling

✍ Scribed by Marek Musiela, Marek Rutkowski

• Book ID: 127455743
• Publisher: Springer
• Year: 2008
• Tongue: English
• Weight: 3 MB
• Series: Stochastic Modelling and Applied Probability
• Edition: 2nd
• Category: Library
• ISBN-13: 9783540209669

✦ Synopsis

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 reappears systematically in Part II, that has been revised fundamentally, presenting much more detailed analyses of interest-rate models: 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.