Martingale methods in financial modelling
著者
書誌事項
Martingale methods in financial modelling
（Applications of mathematics）（Stochastic modelling and applied probability, 36）
Springer, c2007
2nd ed., corr. 2nd printing
並立書誌 全2件
大学図書館所蔵 全11件
注記
"The second printing of the second edition of this book expands and clarifies further its contents exposition...The bibliographical references are brought up to date as far as possible." -- Note on the Second Printing, p. [vii].
Bibliography: p. [623]-672
Includes index
内容説明・目次
内容説明
A new edition of a successful, well-established book that provides the reader with a text focused on practical rather than theoretical aspects of financial modelling
Includes a new chapter devoted to volatility risk
The theme of stochastic volatility reappears systematically and has been revised fundamentally, presenting a much more detailed analyses of interest-rate models
目次
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.
「Nielsen BookData」 より