Martingale Methods in Financial Modelling

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...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autores principales: Musiela, Marek (Autor), Rutkowski, Marek (Autor)
Autor Corporativo: SpringerLink (Online service)
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2005.
Edición:2nd ed. 2005.
Colección:Stochastic Modelling and Applied Probability, 36
Temas:
Probabilities.
Mathematics.
Probability Theory.
Applications of Mathematics.
Acceso en línea:Texto Completo
Tabla de Contenidos:
  • 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.

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