Martingale Methods In Financial Modelling - Couverture rigide

Livre 8 sur 30: Stochastic Modelling and Applied Probability

Musiela, Marek; Rutkowski, Marek

 
9783540209669: Martingale Methods In Financial Modelling
Couverture rigide
ISBN 10 : 3540209662 ISBN 13 : 9783540209669
Editeur : Springer-Verlag Berlin and Heidelberg GmbH & Co. K, 2004

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.

In the 3rd printing of the 2nd edition, the second Chapter on discrete-time markets has been extensively revised. Proofs of several results are simplified and completely new sections on optimal stopping problems and Dynkin games are added. Applications to the valuation and hedging of American-style and game options are presented in some detail.

The theme of stochastic volatility also reappears systematically in the second part of the book, which has been revised fundamentally, presenting much more detailed analyses of the various interest-rate models available: the authors' perspective throughout is that the choice of a model should be basedon 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.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

À propos de l?auteur

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Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
Springer-Verlag Berlin and Heidelberg GmbH & Co. K
Date d'édition
2004
Langue
anglais
ISBN 10 
3540209662
ISBN 13 
9783540209669
Reliure
Relié
Numéro d'édition
2
Nombre de pages
740
Coordonnées du fabricant
Springer Nature Customer Service Center GmbH
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Heidelberg
69115
Allemagne

Autres éditions populaires du même titre

9783642058981: Martingale Methods in Financial Modelling

Edition présentée

ISBN 10 :  3642058981 ISBN 13 :  9783642058981
Editeur : Springer, 2010
Couverture souple