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...
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| Format: | Book |
| Language: | Undetermined |
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Berlin New York
Springer
2007
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| Institutions: | Trung tâm Học liệu Trường Đại học Cần Thơ |
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| LEADER | 01676nam a2200217Ia 4500 | ||
|---|---|---|---|
| 001 | CTU_153127 | ||
| 008 | 210402s9999 xx 000 0 und d | ||
| 020 | |c 75.17 | ||
| 082 | |a 332.01 | ||
| 082 | |b M986 | ||
| 100 | |a Musiela, Marek | ||
| 245 | 0 | |a Martingale methods in financial modelling | |
| 245 | 0 | |c Marek Musiela, Marek Rutkowski. | |
| 260 | |a Berlin New York | ||
| 260 | |b Springer | ||
| 260 | |c 2007 | ||
| 520 | |a 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. | ||
| 650 | |a Options (Finance),Derivative securities,Tài chính | ||
| 650 | |x Mathematical models,Mathematical models,Mô hình toán học | ||
| 904 | |i Năm | ||
| 980 | |a Trung tâm Học liệu Trường Đại học Cần Thơ | ||