Martingale methods in financial modelling
Author(s)
Bibliographic Information
Martingale methods in financial modelling
（Applications of mathematics）（Stochastic modelling and applied probability, 36）
Springer, c2007
2nd ed., corr. 2nd printing
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Note
"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
Description and Table of Contents
Description
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
Table of Contents
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.
by "Nielsen BookData"