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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.
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.
.
Bridges the mathematical theory and industry practice of option pricing at the ideal level for both audiences
Brand new chapter on volatility risk
| Erscheinungsjahr: | 2010 |
|---|---|
| Fachbereich: | Wahrscheinlichkeitstheorie |
| Genre: | Mathematik |
| Rubrik: | Naturwissenschaften & Technik |
| Medium: | Taschenbuch |
| Seiten: | 740 |
| Reihe: | Stochastic Modelling and Applied Probability |
| Inhalt: |
xx
720 S. |
| ISBN-13: | 9783642058981 |
| ISBN-10: | 3642058981 |
| Sprache: | Englisch |
| Ausstattung / Beilage: | Paperback |
| Einband: | Kartoniert / Broschiert |
| Autor: |
Rutkowski, Marek
Musiela, Marek |
| Auflage: | 2nd ed. 2005 |
| Hersteller: |
Springer-Verlag GmbH
Springer Berlin Heidelberg Stochastic Modelling and Applied Probability |
| Maße: | 235 x 155 x 40 mm |
| Von/Mit: | Marek Rutkowski (u. a.) |
| Erscheinungsdatum: | 19.10.2010 |
| Gewicht: | 1,101 kg |
.
Bridges the mathematical theory and industry practice of option pricing at the ideal level for both audiences
Brand new chapter on volatility risk
| Erscheinungsjahr: | 2010 |
|---|---|
| Fachbereich: | Wahrscheinlichkeitstheorie |
| Genre: | Mathematik |
| Rubrik: | Naturwissenschaften & Technik |
| Medium: | Taschenbuch |
| Seiten: | 740 |
| Reihe: | Stochastic Modelling and Applied Probability |
| Inhalt: |
xx
720 S. |
| ISBN-13: | 9783642058981 |
| ISBN-10: | 3642058981 |
| Sprache: | Englisch |
| Ausstattung / Beilage: | Paperback |
| Einband: | Kartoniert / Broschiert |
| Autor: |
Rutkowski, Marek
Musiela, Marek |
| Auflage: | 2nd ed. 2005 |
| Hersteller: |
Springer-Verlag GmbH
Springer Berlin Heidelberg Stochastic Modelling and Applied Probability |
| Maße: | 235 x 155 x 40 mm |
| Von/Mit: | Marek Rutkowski (u. a.) |
| Erscheinungsdatum: | 19.10.2010 |
| Gewicht: | 1,101 kg |
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