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Martingale Methods in Financial Modelling
Musiela, Marek ; Rutkowski, Marek
Berlin, Heidelberg: Springer-Verlag 2005
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Título:
Martingale Methods in Financial Modelling
Autor:
Musiela, Marek
;
Rutkowski, Marek
Assuntos:
Asset pricing
;
Derivative securities
;
Derivatives
;
Distribution (Probability theory
;
Finance
;
Finance, general
;
Financial models
;
Fixed-income securities
;
Income
;
Interest rates
;
Martingale
;
Martingales (Mathematics)
;
Mathematical finance
;
Mathematical models
;
Mathematics
;
Mathematics and Statistics
;
Options (Finance)
;
Probability Theory and Stochastic Processes
;
Quantitative Finance
;
Statistics
;
Statistics for Business, Management, Economics, Finance, Insurance
Notas:
SourceType-Books-1
ObjectType-Book-1
content type line 7
Descrição:
In the 2nd edition some sections of Part I are omitted for better readability, and a brand new chapter is devoted to volatility risk. As a consequence, hedging of plain-vanilla options and valuation of exotic options are no longer limited to the Black-Scholes framework with constant volatility.The theme of stochastic volatility also reappears systematically in the second part of the book, which has been revised fundamentally, presenting much more detailed analyses of the various interest-rate models available: the authors' perspective throughout is that the choice of a model should be based on the reality of how a particular sector of the financial market functions, never neglecting to examine liquid primary and derivative assets and identifying the sources of trading risk associated. This long-awaited new edition of an outstandingly successful, well-established book, concentrating on the most pertinent and widely accepted modelling approaches, provides the reader with a text focused on practical rather than theoretical aspects of financial modelling.
Títulos relacionados:
Stochastic Modelling and Applied Probability
Editor:
Berlin, Heidelberg: Springer-Verlag
Data de criação/publicação:
2005
Formato:
722
Idioma:
Inglês
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