Martingale methods in financial modelling
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...
Tallennettuna:
| Päätekijä: | |
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| Aineistotyyppi: | Kirja |
| Kieli: | Undetermined |
| Julkaistu: |
Berlin New York
Springer
2007
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| Aiheet: | |
| Tagit: |
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| Thư viện lưu trữ: | Trung tâm Học liệu Trường Đại học Cần Thơ |
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| Yhteenveto: | 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 reappears systematically in Part II, that has been revised fundamentally, presenting much more detailed analyses of interest-rate models: 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. |
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