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Více informací o knize Martingale Methods in Financial Modelling

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Anotace knihy

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.

Parametry knihy

Zařazení knihy Knihy v angličtině Economics, finance, business & management Economics Econometrics

• Plný název: Martingale Methods in Financial Modelling
• Autor: Marek Musiela, Marek Rutkowski
• Jazyk: Angličtina
• Vazba: Pevná
• Počet stran: 638
• EAN: 9783540209669
• ISBN: 3540209662
• ID: 05273712
• Nakladatelství: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
• Hmotnost: 1200 g
• Rozměry: 246 × 167 × 45 mm
• Datum vydání: 01. July 2004

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