Martingale Methods in Financial Modelling

✍ Scribed by Marek Musiela, Marek Rutkowski (auth.)

Publisher: Springer Berlin Heidelberg
Year: 1997
Tongue: English
Leaves: 521
Series: Applications of Mathematics 36
Category: Library

No coin nor oath required. For personal study only.

✦ Table of Contents

Front Matter....Pages I-XII
Front Matter....Pages 1-1
An Introduction to Financial Derivatives....Pages 3-32
The Cox-Ross-Rubinstein Model....Pages 33-68
Finite Security Markets....Pages 69-86
Market Imperfections....Pages 87-108
The Black-Scholes Model....Pages 109-134
Modifications of the Black-Scholes Model....Pages 135-158
Foreign Market Derivatives....Pages 159-182
American Options....Pages 183-204
Exotic Options....Pages 205-228
Continuous-time Security Markets....Pages 229-261
Front Matter....Pages 263-263
Interest Rates and Related Contracts....Pages 265-280
Models of the Short-term Rate....Pages 281-302
Models of Instantaneous Forward Rates....Pages 303-324
Models of Bond Prices and LIBOR Rates....Pages 325-356
Option Valuation in Gaussian Models....Pages 357-386
Swap Derivatives....Pages 387-418
Cross-currency Derivatives....Pages 419-452
Back Matter....Pages 453-513

✦ Subjects

Quantitative Finance; Probability Theory and Stochastic Processes; Finance/Investment/Banking; Statistics for Business/Economics/Mathematical Finance/Insurance

📜 SIMILAR VOLUMES

Martingale Methods in Financial Modellin

📁 Martingale Methods in Financial Modelling

✍ Rutkowski M., Musiela M. 📂 Library 📅 2005 🌐 English

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 Modellin

📁 Martingale Methods in Financial Modelling

✍ Marek Musiela, Marek Rutkowski (auth.) 📂 Library 📅 2005 🏛 Springer-Verlag Berlin Heidelberg 🌐 English

<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

Martingale Methods in Financial Modeling

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✍ Marek Musiela, Marek Rutkowski 📂 Library 📅 2008 🏛 Springer 🌐 English

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✍ Marek Musiela, Marek Rutkowski 📂 Library 📅 2008 🏛 Springer 🌐 English

Martingale Methods in Financial Modellin

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✍ Marek Musiela, Marek Rutkowski 📂 Library 📅 2004 🏛 Springer 🌐 English

<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

Martingale Methods in Financial Modellin

📁 Martingale Methods in Financial Modelling

✍ Marek Musiela, Marek Rutkowski 📂 Library 📅 2010 🏛 Springer 🌐 English

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