Martingale Methods in Financial Modelling: v.36 - Rilegato

Musiela, Marek; Rutkowski, Marek

Rilegato

ISBN 10: 354061477X ISBN 13: 9783540614777

Casa editrice: Springer Verlag, 1998

Riassunto

This book provides a comprehensive and self-contained treat- ment 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 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 presenting to the industry useful math. tools.

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Dettagli dell'edizione

• Editore: Springer Verlag
• Data di pubblicazione: 1998
• Lingua: Inglese
• ISBN 10: 354061477X
• ISBN 13: 9783540614777
• Rilegatura: Copertina rigida
• Numero edizione: 2
• Numero di pagine: 518
• Contatto del produttore: non disponibile
• Persona responsabile: CMN Printpool Inh. Mathis Neumann; 0; https://www.also.com/ec/cms5/en_6000/6000/index.jsp; ; Friedrich-Karl-Str. 9; 0; Hamburg; 0; 22391; Germania