Martingale Methods in Financial Modelling

• Κύριοι συγγραφείς: Musiela, Marek (Συγγραφέας), Rutkowski, Marek (Συγγραφέας)
• Συγγραφή απο Οργανισμό/Αρχή: SpringerLink (Online service)
• Μορφή: Ηλεκτρονική πηγή Ηλ. βιβλίο
• Γλώσσα: English
• Έκδοση: Berlin, Heidelberg : Springer Berlin Heidelberg, 2005.
• Έκδοση: 2.
• Σειρά: Stochastic Modelling and Applied Probability, 36
• Θέματα: 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...

Πίνακας περιεχομένων:

• 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.