Martingale Methods in Financial Modelling / Edition 2

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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 shastic volatility reappears systematically and has been revised fundamentally, presenting a much more detailed analyses of interest-rate models

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Editorial Reviews

From the Publisher
From the reviews:

" …This book is an impressive work of scholarship in mathematical finance in the area of option pricing. …contains the latest results and references. …The presence of many explicit formulae, for various types of derivatives, will make this book attractive to practitioners; and its breadth of content will make it useful for anyone who considers research in mathematical finance." (The Australian and New Zealand Journal of Statistics)

" …On the whole, this book presents a very wide range of topics and will appeal to both practitioners and mathematicians. …the second part gives an excellent overview of the state of the art in term structure research and will set a clear standard for some time to come." (MathSciNet)

" ...The book contains a wealth of material expressed in a clear mathematical way. A definite bonus is the very extensive list of references which gives the reader a most welcome basis from which to explore further the realm of mathematical finance. …The book can be used ideally both as an introductory and as an advanced text on mathematical finance." (Short Book Reviews)

" …This book is a comprehensive and up-to-date presentation of the martingale approach for pricing and hedging derivative securities. …provides a wide range of topics and will appeal to both practitioners and mathematicians. When only special cases or models are provided, the authors give useful references that will help researchers to obtain even more insight in the topics." (ZentralblattMATH)

From the reviews of the second edition:

"The book starts at an elementary level of mathematics as well as of market and product knowledge. … In summary, the book gives a very broad insight into advanced modern financial mathematics, in particular fixed income models. … It will serve as a basic source of knowledge of the described topics in financial mathematics." (Ludger Overbeck, Mathematical Reviews, Issue 2005 m)

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Product Details

  • ISBN-13: 9783642058981
  • Publisher: Springer Berlin Heidelberg
  • Publication date: 11/19/2010
  • Series: Stochastic Modelling and Applied Probability Series , #36
  • Edition description: Softcover reprint of hardcover 2nd ed. 2005
  • Edition number: 2
  • Pages: 638
  • Product dimensions: 6.10 (w) x 9.20 (h) x 1.60 (d)

Meet the Author

Table of Contents

Spot and Futures Markets.- An Introduction to Financial Derivatives.- Discrete-time Security Markets.- Benchmark Models in Continuous Time.- Foreign Market Derivatives.- American Options.- Exotic Options.- Volatility Risk.- Continuous-time Security Markets.- Fixed-income Markets.- Interest Rates and Related Contracts.- Short-Term Rate Models.- Models of Instantaneous Forward Rates.- Market LIBOR Models.- Alternative Market Models.- Cross-currency Derivatives.

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