Martingale Methods in Financial Modelling
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Language: English
Published by Springer, 2002
- Hardcover
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- Title
- Martingale Methods in Financial Modelling
- Author
- Marek Rutkowski,Marek Musiela
- Publisher
- Springer
- Publication year
- 2002
- Condition
- Good
- Binding
- Hardcover
- Language
- English
- ISBN 10
- 354061477X
- ISBN 13
- 9783540614777
This book provides a comprehensive and self-contained treatment of the theory and practice of option pricing. The role of martingale methods in financial modeling is exposed. The emphasis is on using arbitrage-free models already accepted by the market as well as on building the new ones but in a way that makes them consistent with the finance industry derivatives pricing practice. Standard calls and puts together with numerous examples of exotic options such as barriers and quantos, for example on stocks, indices, currencies and interest rates are analyzed.
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