Description 
xvi, 636 pages ; 24 cm 
Series 
Stochastic modelling and applied probability, 01724568 ; 36 

Stochastic modelling and applied probability ; 36

Contents 
Machine derived contents note: Contents: An Introduction to Financial Derivatives. The CoxRossRubinstein Model. Finite Security Markets. The BlackScholes Model. Foreign Market Derivatives. Americal Options. Exotic Options. Continuoustime Security Markets. Interest Rates and Related Contracts. Models of the Shortterm Rate. Models of Instantaneous Forward Rates. Models of Bond Prices and LIBOR Rates. Option Valuation in Gaussian Models. Swap Derivatives. Crosscurrency Derivatives. Appendices: Conditional Expectations, It ̥Stochastic Calculus 
Summary 
"This book provides a comprehensive, selfcontained and uptodate treatment of the main topics in the theory of option pricing. The first part of the text starts with discretetime models of financial markets, including the CoxRossRubinstein binomial model. The passage from discrete to continuoustime models, done in the BlackScholes model setting, assumes familiarity with basic ideas and results from stochastic calculus. However, an Appendix containing all the necessary results is included." "This new edition of a wellestablished 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."Jacket 
Bibliography 
Includes bibliographical references (pages [583]629) and index 
Notes 
Print version record 
In 
Springer ebooks 
Subject 
Derivative securities  Mathematical models.


Finance  Mathematical models.


Fixedincome securities  Mathematical models.


Interest rates  Mathematical models.


Options (Finance)  Mathematical models.

Author 
Rutkowski, Marek, 1952

LC no. 
2004114482 
ISBN 
3540209662 
