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Martingale Methods in Financial Modelling (Hardcover, 2nd Corrected ed. 2005. Corr. 4th printing 2008) Loot Price: R3,358
Discovery Miles 33 580
Martingale Methods in Financial Modelling (Hardcover, 2nd Corrected ed. 2005. Corr. 4th printing 2008): Marek Musiela, Marek...

Martingale Methods in Financial Modelling (Hardcover, 2nd Corrected ed. 2005. Corr. 4th printing 2008)

Marek Musiela, Marek Rutkowski

Series: Stochastic Modelling and Applied Probability, 36

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Loot Price R3,358 Discovery Miles 33 580 | Repayment Terms: R315 pm x 12*

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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.

In the 3rd printing of the 2nd edition, the second Chapter on discrete-time markets has been extensively revised. Proofs of several results are simplified and completely new sections on optimal stopping problems and Dynkin games are added. Applications to the valuation and hedging of American-style and game options are presented in some detail.

The theme of stochastic volatility also reappears systematically in the second part of the book, which has been revised fundamentally, presenting much more detailed analyses of the various interest-rate models available: 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.

General

Imprint: Springer-Verlag
Country of origin: Germany
Series: Stochastic Modelling and Applied Probability, 36
Release date: October 2008
First published: October 2008
Authors: Marek Musiela • Marek Rutkowski
Dimensions: 235 x 155 x 45mm (L x W x T)
Format: Hardcover
Pages: 720
Edition: 2nd Corrected ed. 2005. Corr. 4th printing 2008
ISBN-13: 978-3-540-20966-9
Categories: Books > Business & Economics > Economics > Econometrics > General
Books > Business & Economics > Finance & accounting > Finance > General
Books > Money & Finance > General
LSN: 3-540-20966-2
Barcode: 9783540209669

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