Martingale Methods in Financial Modelling. Marek Musiela, Marek Rutkowski

Martingale Methods in Financial Modelling



Download Martingale Methods in Financial Modelling



Martingale Methods in Financial Modelling Marek Musiela, Marek Rutkowski ebook pdf
Publisher: Springer
Language: English
Page: 327
ISBN: 3540209662, 9783540209669

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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