Martingale methods in financial modelling
著者
書誌事項
Martingale methods in financial modelling
（Applications of mathematics, 36）
Springer, 1998
Corrected 2nd printing
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注記
Bibliography: p. [471]-512
Includes index
内容説明・目次
内容説明
This book provides a comprehensive and self-contained treat- ment of the theory and practice of option pricing. The role of martingale methods in financial modeling is exposed. The emphasis is on using arbitrage-free models already accepted by the market as well as on building the new ones but in a way that makes them consistent with the finance industry derivatives pricing practice. Standard calls and puts together with numerous examples of exotic options such as barriers and quantos, for example on stocks, indices, currencies and interest rates are analysed. The importance of choosing a convenient numeraire in price calculations is explained. Mathematical and financial language is used so as to bring mathematicians closer to practical problems of finance and presenting to the industry useful math. tools.
目次
Contents: An Introduction to Financial Derivatives * The Cox-Ross-Rubinstein Model * Finite Security Markets * The Black-Scholes Model * Foreign Market Derivatives * Americal Options * Exotic Options * Continuous-time Security Markets * Interest Rates and Related Contracts * Models of the Short-term Rate * Models of Instantaneous Forward Rates * Models of Bond Prices and LIBOR Rates * Option Valuation in Gaussian Models * Swap Derivatives * Cross-currency Derivatives. Appendices: Conditional Expectations, Ito Stochastic Calculus.
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