Martingale methods in financial modelling
"This book provides a comprehensive, self-contained and up-to-date treatment of the main topics in the theory of option pricing. The first part of the text starts with discrete-time models of financial markets, including the Cox-Ross-Rubinstein binomial model. The passage from discrete- to cont...
| Main Author: | Musiela, Marek, 1950- |
|---|---|
| Other Authors: | Rutkowski, Marek, 1952-, SpringerLink (Online service) |
| Format: | eBook |
| Language: | English |
| Published: |
Berlin ; New York :
Springer,
©2005.
Berlin ; New York : [2005] |
| Physical Description: |
1 online resource (xvi, 636 pages). |
| Edition: | 2nd ed. |
| Series: |
Stochastic modelling and applied probability ;
36. |
| Subjects: |
Table of Contents:
- An Introduction to Financial Derivatives
- The Cox-Ross-Rubinstein Model
- Finite Security Markets
- The Black-Scholes Model
- Foreign Market Derivatives
- Americal Options
- Exotic Options
- Continuous-time Security Markets
- Interest Rates and Related Contracts
- Models of the Short-term Rate
- Models of Instantaneous Forward Rates
- Models of Bond Prices and LIBOR Rates
- Option Valuation in Gaussian Models
- Swap Derivatives
- Cross-currency Derivatives. Appendices: Conditional Expectations, Itô Stochastic Calculus.