Martingale Methods in Financial Modelling / Edition 2

Martingale Methods in Financial Modelling / Edition 2

by Marek Musiela, Marek Rutkowski
     
 

ISBN-10: 3540209662

ISBN-13: 9783540209669

Pub. Date: 10/28/2008

Publisher: Springer Berlin Heidelberg

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 fundamentally, presenting a much more

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Overview

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 fundamentally, presenting a much more detailed analyses of interest-rate models

Product Details

ISBN-13:
9783540209669
Publisher:
Springer Berlin Heidelberg
Publication date:
10/28/2008
Series:
Stochastic Modelling and Applied Probability Series, #36
Edition description:
2nd Corrected ed. 2005. Corr. 4th printing 2008
Pages:
638
Product dimensions:
6.10(w) x 9.25(h) x 0.07(d)

Table of Contents

Preface
1An Introduction to Financial Derivatives3
2The Cox-Ross-Rubinstein Model33
3Finite Security Markets69
4Market Imperfections87
5The Black-Scholes Model109
6Modifications of the Black-Scholes Model135
7Foreign Market Derivatives159
8American Options183
9Exotic Options205
10Continuous-time Security Markets229
11Interest Rates and Related Contracts265
12Models of the Short-term Rate281
13Models of Instantaneous Forward Rates303
14Models of Bond Prices and LIBOR Rates325
15Option Valuation in Gaussian Models357
16Swap Derivatives387
17Cross-currency Derivatives419
App. AConditional Expectations455
App. BIto Stochastic Calculus459
References471
Index507

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