Martingale Methods in Financial Modelling

Martingale Methods in Financial Modelling by M Musiela

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.

Musiela, Marek: - Marek Musiela is Head of Quantitative Research at Paribas, London.

SKU	Non disponible
ISBN 13	9783540614777
ISBN 10	354061477X
Titre	Martingale Methods in Financial Modelling
Auteur	M Musiela
Série	Applications Of Mathematics
État	Non disponible
Type de reliure	Hardback
Éditeur	Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
Année de publication	1998-10-31
Nombre de pages	530
Note de couverture	La photo du livre est présentée à titre d'illustration uniquement. La reliure, la couverture ou l'édition réelle peuvent varier.
Note	Non disponible