Martingale Methods in Financial Modelling
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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 | Unavailable |
| ISBN 13 | 9783540614777 |
| ISBN 10 | 354061477X |
| Title | Martingale Methods in Financial Modelling |
| Author | M Musiela |
| Series | Applications Of Mathematics |
| Condition | Unavailable |
| Binding Type | Hardback |
| Publisher | Springer-Verlag Berlin and Heidelberg GmbH & Co. KG |
| Year published | 1998-10-31 |
| Number of pages | 530 |
| Cover note | Book picture is for illustrative purposes only, actual binding, cover or edition may vary. |
| Note | Unavailable |
