Martingale Methods in Financial Modelling

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Sprache: Englisch

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Beschreibung

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.

Über den Autor

Zusammenfassung

Has sold over 15 000 copies since release in 1997

Bridges the mathematical theory and industry practice of option pricing at the ideal level for both audiences

Brand new chapter on volatility risk

Includes supplementary material: [...]

Inhaltsverzeichnis

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.

Details

Erscheinungsjahr:	2004
Medium:	Buch
Seiten:	740
Reihe:	Stochastic Modelling and Applied Probability
Inhalt:	xx 720 S.
ISBN-13:	9783540209669
ISBN-10:	3540209662
Sprache:	Englisch
Ausstattung / Beilage:	HC runder Rücken kaschiert
Einband:	Gebunden
Autor:	Rutkowski, Marek Musiela, Marek
Auflage:	2nd ed. 2005
Hersteller:	Springer Berlin Springer Berlin Heidelberg Stochastic Modelling and Applied Probability
Maße:	241 x 160 x 44 mm
Von/Mit:	Marek Rutkowski (u. a.)
Erscheinungsdatum:	25.11.2004
Gewicht:	1,262 kg

preigu-id: 102455152