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Author Musiela, Marek, 1950-

Title Martingale methods in financial modelling / Marek Musiela, Marek Rutkowski
Edition Second edition
Published Berlin ; New York : Springer, [2005]


Location Call no. Vol. Availability
 MELB  332.01 Mus/Mmi 2005  AVAILABLE
Description xvi, 636 pages ; 24 cm
Series Stochastic modelling and applied probability, 0172-4568 ; 36
Stochastic modelling and applied probability ; 36
Contents Machine derived contents note: 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, It Ő•Stochastic Calculus
Summary "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 new edition of a 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."--Jacket
Bibliography Includes bibliographical references (pages [583]-629) and index
Notes Print version record
In Springer e-books
Subject Derivative securities -- Mathematical models.
Finance -- Mathematical models.
Fixed-income securities -- Mathematical models.
Interest rates -- Mathematical models.
Options (Finance) -- Mathematical models.
Author Rutkowski, Marek, 1952-
LC no. 2004114482
ISBN 3540209662