Title: Martingale Methods in Financial Modelling: v.36 (Applications of Mathematics)
Publisher: Springer-Verlag Berlin and Heidelberg GmbH & Co. K
Publication Date: 1998
Language: English
ISBN 10: 354061477X
ISBN 13: 9783540614777
Binding: Hardcover
Edition: 2nd Edition
Condition: Very Good

About this title

Synopsis

This comprehensive and self-contained treatment of the theory and practice of option pricing describes the role of martingale methods in financial modelling. The emphasis is on using arbitrage-free models already accepted by the market as well as on building new ones but in a way that makes them consistent with the finance industry's 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 analysed. The importance of choosing a convenient numeraire in price calculations is explained. Mathematical and financial language is used so as to bring mathematicians closer to practical problems of finance and to present to the industry useful mathematical tools.

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