| 書目名稱 | Martingale Methods in Financial Modelling |
| 編輯 | Marek Musiela,Marek Rutkowski |
| 視頻video | http://file.papertrans.cn/625/624896/624896.mp4 |
| 概述 | Has sold over 15 000 copies since release in 1997.Bridges the mathematical theory and industry practice of option pricing at the ideal level for both audiences.Brand new chapter on volatility risk.Inc |
| 叢書名稱 | Stochastic Modelling and Applied Probability |
| 圖書封面 |  |
| 描述 | .In the 2.nd. edition some sections of Part I are omitted for better readability, and a brand new chapter is devoted to volatility risk. As a consequence, hedging of plain-vanilla options and valuation of exotic options are no longer limited to the Black-Scholes framework with constant volatility...In the 3.rd. printing of the 2.nd. edition, the second Chapter on discrete-time markets has been extensively revised. Proofs of several results are simplified and completely new sections on optimal stopping problems and Dynkin games are added. Applications to the valuation and hedging of American-style and game options are presented in some detail...The theme of stochastic volatility also reappears systematically in the second part of the book, which has been revised fundamentally, presenting much more detailed analyses of the various interest-rate models available: the authors‘ perspective?throughout is that the choice of a model should be basedon the reality of how a particular sector of the financial market functions, never neglecting to examine liquid primary and derivative assets and identifying the sources of trading risk associated. This long-awaited new edition of an outstandingl |
| 出版日期 | Book 2005Latest edition |
| 關(guān)鍵詞 | Hedging; Stochastic calculus; arbitrage; martingales; mathematical finance; modeling; options; stochastic v |
| 版次 | 2 |
| doi | https://doi.org/10.1007/b137866 |
| isbn_softcover | 978-3-642-05898-1 |
| isbn_ebook | 978-3-540-26653-2Series ISSN 0172-4568 Series E-ISSN 2197-439X |
| issn_series | 0172-4568 |
| copyright | Springer-Verlag Berlin Heidelberg 2005 |
|Archiver|手機版|小黑屋|
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