Martingale Methods in Financial Modelling

• Main Authors: Musiela, Marek (Author), Rutkowski, Marek (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Berlin, Heidelberg : Springer Berlin Heidelberg, 2005.
• Edition: 2.
• Series: Stochastic Modelling and Applied Probability, 36
• Subjects: Finance.; Economics, Mathematical.; Probabilities.; Statistics.; Econometrics.; Public finance.; Economics.; Public Economics.; Quantitative Finance.; Probability Theory and Stochastic Processes.; Statistics for Business/Economics/Mathematical Finance/Insurance.; Finance, general.

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...