rdf-syntax-grammar
mods:
  schema location: http://www.loc.gov/mods/v3 http://www.loc.gov/standards/mods/v3/mods-3-2.xsd
  title info:
    title: Martingale Methods in Financial Modelling
  name:
    name part: Musiela, Marek.
    role:
      role term: creator
    role:
      role term: author.
  name:
    name part: Rutkowski, Marek.
    role:
      role term: author.
  name:
    name part: SpringerLink (Online service)
  type of resource: text
  origin info:
    place:
      place term: gw
    date issued: 2005
    edition: 2.
    issuance: monographic
  language:
    language term: eng
  physical description:
    form: electronic
    form: electronic resource
    reformatting quality: access
    form: remote
    extent: XVI, 638 p. online resource.
  abstract: 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 r…
  table of contents: 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.
  note: by Marek Musiela, Marek Rutkowski.
  subject:
    topic: Finance
  subject:
    topic: Economics, Mathematical
  subject:
    topic: Probabilities
  subject:
    topic: Statistics
  subject:
    topic: Econometrics
  subject:
    topic: Public finance
  subject:
    topic: Economics
  subject:
    topic: Econometrics
  subject:
    topic: Public Economics
  subject:
    topic: Quantitative Finance
  subject:
    topic: Probability Theory and Stochastic Processes
  subject:
    topic: Statistics for Business/Economics/Mathematical Finance/Insurance
  subject:
    topic: Finance, general
  classification: HB139-141
  classification: 330.015195
  related item:
    title info:
      title: Springer eBooks
  related item:
    title info:
      title: Stochastic Modelling and Applied Probability, 36
  identifier: 9783540266532
  identifier: http://dx.doi.org/10.1007/b137866
  record info:
    record creation date: 100301
    record change date: 20151204143900.0
    record identifier: 978-3-540-26653-2