000 04661nam a22005655i 4500
001 978-3-540-26653-2
003 DE-He213
005 20161121230932.0
007 cr nn 008mamaa
008 100301s2005 gw | s |||| 0|eng d
020 _a9783540266532
_9978-3-540-26653-2
024 7 _a10.1007/b137866
_2doi
050 4 _aHB139-141
072 7 _aKCH
_2bicssc
072 7 _aBUS021000
_2bisacsh
082 0 4 _a330.015195
_223
100 1 _aMusiela, Marek.
_eauthor.
245 1 0 _aMartingale Methods in Financial Modelling
_h[electronic resource] /
_cby Marek Musiela, Marek Rutkowski.
250 _a2.
264 1 _aBerlin, Heidelberg :
_bSpringer Berlin Heidelberg,
_c2005.
300 _aXVI, 638 p.
_bonline resource.
336 _atext
_btxt
_2rdacontent
337 _acomputer
_bc
_2rdamedia
338 _aonline resource
_bcr
_2rdacarrier
347 _atext file
_bPDF
_2rda
490 1 _aStochastic Modelling and Applied Probability,
_x0172-4568 ;
_v36
505 0 _aSpot 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 _aThis 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 _aFinance.
650 0 _aEconomics, Mathematical.
650 0 _aProbabilities.
650 0 _aStatistics.
650 0 _aEconometrics.
650 0 _aPublic finance.
650 1 4 _aEconomics.
650 2 4 _aEconometrics.
650 2 4 _aPublic Economics.
650 2 4 _aQuantitative Finance.
650 2 4 _aProbability Theory and Stochastic Processes.
650 2 4 _aStatistics for Business/Economics/Mathematical Finance/Insurance.
650 2 4 _aFinance, general.
700 1 _aRutkowski, Marek.
_eauthor.
710 2 _aSpringerLink (Online service)
773 0 _tSpringer eBooks
776 0 8 _iPrinted edition:
_z9783540209669
830 0 _aStochastic Modelling and Applied Probability,
_x0172-4568 ;
_v36
856 4 0 _uhttp://dx.doi.org/10.1007/b137866
912 _aZDB-2-SMA
950 _aMathematics and Statistics (Springer-11649)
999 _c506108
_d506108