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Book Cover
E-book
Author Musiela, Marek, 1950-

Title Martingale methods in financial modelling / Marek Musiela, Marek Rutkowski
Edition 2nd ed
Published Berlin ; New York : Springer, ©2005

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Description 1 online resource (xvi, 636 pages)
Series Stochastic modelling and applied probability, 0172-4568 ; 36
Stochastic modelling and applied probability ; 36. 0172-4568
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
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 Options (Finance) -- Mathematical models
Derivative securities -- Mathematical models.
Interest rates -- Mathematical models
Fixed-income securities -- Mathematical models
Finance -- Mathematical models.
Finance.
Distribution (Probability theory)
finance.
distribution (statistics-related concept)
Options (Finance) -- Mathematical models.
Derivative securities -- Mathematical models.
Interest rates -- Mathematical models.
Fixed-income securities -- Mathematical models.
Finance -- Mathematical models.
Tipos de interés -- Modelos matemáticos
Opciones (Finanzas) -- Modelos matemáticos
Derivative securities -- Mathematical models
Finance -- Mathematical models
Fixed-income securities -- Mathematical models
Interest rates -- Mathematical models
Options (Finance) -- Mathematical models
Martingalen.
Portfolio-theorie.
Stochastische modellen.
Genre/Form Statistics
Form Electronic book
Author Rutkowski, Marek, 1952-
ISBN 9783540266532
3540266534
3540209662
9783540209669
9783540614777
354061477X