| 000 -LEADER |
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04661nam a22005655i 4500 |
| 001 - CONTROL NUMBER |
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| control field |
978-3-540-26653-2 |
| 003 - CONTROL NUMBER IDENTIFIER |
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| control field |
DE-He213 |
| 005 - DATE AND TIME OF LATEST TRANSACTION |
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| control field |
20161121230932.0 |
| 007 - PHYSICAL DESCRIPTION FIXED FIELD--GENERAL INFORMATION |
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| fixed length control field |
cr nn 008mamaa |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION |
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| fixed length control field |
100301s2005 gw | s |||| 0|eng d |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
|---|
| International Standard Book Number |
9783540266532 |
| -- |
978-3-540-26653-2 |
| 024 7# - OTHER STANDARD IDENTIFIER |
|---|
| Standard number or code |
10.1007/b137866 |
| Source of number or code |
doi |
| 050 #4 - LIBRARY OF CONGRESS CALL NUMBER |
|---|
| Classification number |
HB139-141 |
| 072 #7 - SUBJECT CATEGORY CODE |
|---|
| Subject category code |
KCH |
| Source |
bicssc |
| 072 #7 - SUBJECT CATEGORY CODE |
|---|
| Subject category code |
BUS021000 |
| Source |
bisacsh |
| 082 04 - DEWEY DECIMAL CLASSIFICATION NUMBER |
|---|
| Classification number |
330.015195 |
| Edition number |
23 |
| 100 1# - MAIN ENTRY--PERSONAL NAME |
|---|
| Personal name |
Musiela, Marek. |
| Relator term |
author. |
| 245 10 - TITLE STATEMENT |
|---|
| Title |
Martingale Methods in Financial Modelling |
| Medium |
[electronic resource] / |
| Statement of responsibility, etc. |
by Marek Musiela, Marek Rutkowski. |
| 250 ## - EDITION STATEMENT |
|---|
| Edition statement |
2. |
| 264 #1 - PRODUCTION, PUBLICATION, DISTRIBUTION, MANUFACTURE, AND COPYRIGHT NOTICE |
|---|
| Place of production, publication, distribution, manufacture |
Berlin, Heidelberg : |
| Name of producer, publisher, distributor, manufacturer |
Springer Berlin Heidelberg, |
| Date of production, publication, distribution, manufacture, or copyright notice |
2005. |
| 300 ## - PHYSICAL DESCRIPTION |
|---|
| Extent |
XVI, 638 p. |
| Other physical details |
online resource. |
| 336 ## - CONTENT TYPE |
|---|
| Content type term |
text |
| Content type code |
txt |
| Source |
rdacontent |
| 337 ## - MEDIA TYPE |
|---|
| Media type term |
computer |
| Media type code |
c |
| Source |
rdamedia |
| 338 ## - CARRIER TYPE |
|---|
| Carrier type term |
online resource |
| Carrier type code |
cr |
| Source |
rdacarrier |
| 347 ## - DIGITAL FILE CHARACTERISTICS |
|---|
| File type |
text file |
| Encoding format |
PDF |
| Source |
rda |
| 490 1# - SERIES STATEMENT |
|---|
| Series statement |
Stochastic Modelling and Applied Probability, |
| International Standard Serial Number |
0172-4568 ; |
| Volume/sequential designation |
36 |
| 505 0# - FORMATTED CONTENTS NOTE |
|---|
| Formatted contents note |
Spot and Futures Markets -- An Introduction to Financial Derivatives -- Discrete-time Security Markets -- Benchmark Models in Continuous Time -- Foreign Market Derivatives -- American Options -- Exotic Options -- Volatility Risk -- Continuous-time Security Markets -- Fixed-income Markets -- Interest Rates and Related Contracts -- Short-Term Rate Models -- Models of Instantaneous Forward Rates -- Market LIBOR Models -- Alternative Market Models -- Cross-currency Derivatives. |
| 520 ## - SUMMARY, ETC. |
|---|
| Summary, etc. |
This 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 starts with discrete-time models of financial markets, including the Cox-Ross-Rubinstein binomial model. The passage from discrete- to continuous-time models, done in the Black-Scholes model setting, assumes familiarity with basic ideas and results from stochastic calculus. However, an Appendix containing all the necessary results is included. This model setting is later generalized to cover standard and exotic options involving several assets and/or currencies. An outline of the general theory of arbitrage pricing is presented. The second part of the text is devoted to the term structure modelling and the pricing of interest-rate derivatives. The main emphasis is on models that can be made consistent with market pricing practice. In the 2nd edition, some sections of the former Part I are omitted for better readability, and a brand new chapter is devoted to volatility risk. 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. 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. Part II of the book has been revised fundamentally. The theme of volatility risk appears systematically. Much more detailed analysis of the various interest-rate models is 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. In particular, it should concentrate on defining liquid primary and derivative assets and identifying the relevant sources of trading risk. 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 the practical rather than the theoretical aspects of financial modelling. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name entry element |
Finance. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name entry element |
Economics, Mathematical. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name entry element |
Probabilities. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name entry element |
Statistics. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name entry element |
Econometrics. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name entry element |
Public finance. |
| 650 14 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name entry element |
Economics. |
| 650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name entry element |
Econometrics. |
| 650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name entry element |
Public Economics. |
| 650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name entry element |
Quantitative Finance. |
| 650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name entry element |
Probability Theory and Stochastic Processes. |
| 650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name entry element |
Statistics for Business/Economics/Mathematical Finance/Insurance. |
| 650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name entry element |
Finance, general. |
| 700 1# - ADDED ENTRY--PERSONAL NAME |
|---|
| Personal name |
Rutkowski, Marek. |
| Relator term |
author. |
| 710 2# - ADDED ENTRY--CORPORATE NAME |
|---|
| Corporate name or jurisdiction name as entry element |
SpringerLink (Online service) |
| 773 0# - HOST ITEM ENTRY |
|---|
| Title |
Springer eBooks |
| 776 08 - ADDITIONAL PHYSICAL FORM ENTRY |
|---|
| Relationship information |
Printed edition: |
| International Standard Book Number |
9783540209669 |
| 830 #0 - SERIES ADDED ENTRY--UNIFORM TITLE |
|---|
| Uniform title |
Stochastic Modelling and Applied Probability, |
| International Standard Serial Number |
0172-4568 ; |
| Volume/sequential designation |
36 |
| 856 40 - ELECTRONIC LOCATION AND ACCESS |
|---|
| Uniform Resource Identifier |
http://dx.doi.org/10.1007/b137866 |
| 912 ## - |
|---|
| -- |
ZDB-2-SMA |
