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Stochastic Modelling and Applied Probability #36: Martingale Methods in Financial Modelling

by

Stochastic Modelling and Applied Probability #36: Martingale Methods in Financial Modelling Cover

 

Synopses & Reviews

Publisher Comments:

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 continuous-time models, done in the Black-Scholes model setting, assumes familiarity with basic ideas and results from stochastic calculus. However, an Appendix containing all the necessary results is included. This model setting is later generalized to cover standard and exotic options involving several assets and/or currencies. An outline of the general theory of arbitrage pricing is presented. The second part of the text is devoted to the term structure modelling and the pricing of interest-rate derivatives. The main emphasis is on models that can be made consistent with market pricing practice. In the 2nd edition, some sections of the former Part I are omitted for better readability, and a brand new chapter is devoted to volatility risk. 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. 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. Part II of the book has been revised fundamentally. The theme of volatility risk appears systematically. Much more detailed analysis of the various interest-rate models is available. 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. In particular, it should concentrate on defining liquid primary and derivative assets and identifying the relevant sources of trading risk. 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 the practical rather than the theoretical aspects of financial modelling.

Synopsis:

This thoroughly revised second edition includes a brand new chapter 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.

Synopsis:

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

About the Author

 .

Table of Contents

An Introduction to Financial Derivatives.- The Cox-Ross-Rubinstein Model.- Finite Security Markets.- The Black-Scholes Model.- Foreign Market Derivatives.- Americal Options.- Exotic Options.- Continuous-time Security Markets.- Interest Rates and Related Contracts.- Models of the Short-term Rate.- Models of Instantaneous Forward Rates.- Models of Bond Prices and LIBOR Rates.- Option Valuation in Gaussian Models.- Swap Derivatives.- Cross-currency Derivatives. Appendices: Conditional Expectations, Itô Stochastic Calculus.

Product Details

ISBN:
9783642058981
Author:
Musiela, Marek
Publisher:
Springer
Author:
Rutkowski, Marek
Location:
Berlin, Heidelberg
Subject:
Finance
Subject:
Arbitrage
Subject:
Martingales.
Subject:
Mathematical finance
Subject:
Options
Subject:
Stochastic volatility
Subject:
Swaps
Subject:
Term Structure
Subject:
Quantitative Finance
Subject:
Probability Theory and Stochastic Processes
Subject:
Statistics for Business/Economics/Mathematical Finance/Insurance
Subject:
Finance/Investment/Banking <P>Has sold over 8000 copies since release in 1997</P> <P>Bridges the mathematical theory and industry practice of option pricing at the ideal level for both audiences</P> <P>Brand new chapter on volatility risk</P>
Subject:
Business-Accounting and Finance
Subject:
Game Theory
Subject:
Finance/Investment/Banking
Subject:
Applied
Subject:
Mathematics
Subject:
The Arts
Subject:
mathematics and statistics
Subject:
Distribution (Probability theory)
Subject:
Economics_xStatistics
Subject:
Statistics for Business/Economics/Mathematical Finance/Insura
Subject:
nce
Copyright:
Edition Description:
Softcover reprint of hardcover 2nd ed. 2005
Series:
Stochastic Modelling and Applied Probability
Series Volume:
36
Publication Date:
20101119
Binding:
TRADE PAPER
Language:
English
Pages:
654
Dimensions:
235 x 155 mm 1093 gr

Related Subjects

Business » Accounting and Finance
Business » General
Business » Management
Business » Writing
Science and Mathematics » Mathematics » Modeling
Science and Mathematics » Mathematics » Probability and Statistics » General
Science and Mathematics » Mathematics » Probability and Statistics » Statistics
Science and Mathematics » Physics » Astrophysics

Stochastic Modelling and Applied Probability #36: Martingale Methods in Financial Modelling New Trade Paper
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Product details 654 pages Not Avail - English 9783642058981 Reviews:
"Synopsis" by , This thoroughly revised second edition includes a brand new chapter 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.
"Synopsis" by , 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
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