Martingale Methods in Financial Modelling
Musiela, Marek; Rutkowski, Marek; Lichnewsky, A.
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Description for Martingale Methods in Financial Modelling
Hardback. This thoroughly revised second edition includes a brand new chapter 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. Series: Stochastic Modelling and Applied Probability. Num Pages: 654 pages, biography. BIC Classification: KCH; KFF. Category: (P) Professional & Vocational. Dimension: 246 x 167 x 45. Weight in Grams: 1200.
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.
In the 3rd printing of the 2nd edition, the second Chapter on discrete-time markets has been extensively revised. Proofs of several results are simplified and completely new sections on optimal stopping problems and Dynkin games are added. Applications to the valuation and hedging of American-style and game options are presented in some detail.
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Format
Hardback
Publication date
2004
Publisher
Springer-Verlag Berlin and Heidelberg GmbH & Co. KG Germany
Number of pages
654
Condition
New
Series
Stochastic Modelling and Applied Probability
Number of Pages
720
Place of Publication
Berlin, Germany
ISBN
9783540209669
SKU
V9783540209669
Shipping Time
Usually ships in 15 to 20 working days
Ref
99-15
About Musiela, Marek; Rutkowski, Marek; Lichnewsky, A.
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Reviews for Martingale Methods in Financial Modelling
From the reviews: " …This book is an impressive work of scholarship in mathematical finance in the area of option pricing. …contains the latest results and references. …The presence of many explicit formulae, for various types of derivatives, will make this book attractive to practitioners; and its breadth of content will make it useful ... Read more