Martingale Methods in Financial Modelling: v.36 (Applications of Mathematics) - Tapa dura

Musiela, Marek; Rutkowski, Marek

 
9783540614777: Martingale Methods in Financial Modelling: v.36 (Applications of Mathematics)
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ISBN 10: 354061477X ISBN 13: 9783540614777
Editorial: Springer Verlag, 1998

Sinopsis

The 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 deals with simple discrete models of financial markets, including the Cox-Ross-Rubinstein binomial model. No knowledge of probability and stochastic processes is assumed at this stage, while most of the concepts from modern mathematical finance are explained at a very elementary mathematical level. The passage from the discrete to the continuous market models, done in the Black-Scholes model setting, assumes familiarity with basic ideas and results from stochastic calculus such as Wiener process and Itô formula ; however, an appendix containing all the necessary results is included. The Black-Scholes setting is later generalized to cover standard and exotic options involving several assets and/or currencies. Numerous examples of exotic options are analysed. An outline of a general theory of arbitrage pricing is presented. A very substantial part of the text is devoted to term structure modelling and to the pricing of interest rate options. The HJM framework is discussed in detail. Models based on the forward LIBOR and forward swap rates are introduced. The main emphasis is on models that can be made consistent with the market pricing practice.

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Reseña del editor

This book provides a comprehensive and self-contained treat- ment of the theory and practice of option pricing. The role of martingale methods in financial modeling is exposed. The emphasis is on using arbitrage-free models already accepted by the market as well as on building the new ones but in a way that makes them consistent with the finance industry derivatives pricing practice. Standard calls and puts together with numerous examples of exotic options such as barriers and quantos, for example on stocks, indices, currencies and interest rates are analysed. The importance of choosing a convenient numeraire in price calculations is explained. Mathematical and financial language is used so as to bring mathematicians closer to practical problems of finance and presenting to the industry useful math. tools.

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Editorial
Springer Verlag
Año de publicación
1998
Idioma
Inglés
ISBN 10 
354061477X
ISBN 13 
9783540614777
Encuadernación
Tapa dura
Número de páginas
518
Contacto del fabricante
no disponible
Persona responsable
CMN Printpool Inh. Mathis Neumann
https://www.also.com/ec/cms5/en_6000/6000/index.jsp

Friedrich-Karl-Str. 9
Hamburg
Alemania

Otras ediciones populares con el mismo título

9780387614779: Martingale Methods in Financial Modelling

Edición Destacada

ISBN 10:  038761477X ISBN 13:  9780387614779
Editorial: Springer-Verlag New York Inc., 1998
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