ENGLISH

Martingale methods in financial modeling

By Marek Rutkowski , Marek Musiela

Book information

Publisher
Springer
Year
2008
ISBN
3540209662, 9783540209669
LCC
HG6024.A3 .M87 2005
Open Library ID
OL3316574M
Language
english
Format
DJVU
Filesize
3 MB (3218667 bytes)
Series
Stochastic Modelling and Applied Probability
Edition
2nd
Pages
646\646
Topic
Economy
Library
Kolxo3
DPI
300
Time added
2009-07-20 03:45:11

Description

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.

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