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Martingale Methods in Financial Modelling PDF

327 Pages·2004·31.457 MB·English
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by Marek Musiela, Marek Rutkowski| 2004| 327 pages| 31.457| English

About Martingale Methods in Financial Modelling

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. The theme of stochastic volatility reappears systematically in Part II, that has been revised fundamentally, presenting much more detailed analyses of interest-rate models: the authors' perspective throughout is that the choice of a model should be based on 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.

Detailed Information

Author:Marek Musiela, Marek Rutkowski
Publication Year:2004
ISBN:3540209662
Pages:327
Language:English
File Size:31.457
Format:PDF
Price:FREE
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