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Martingale Methods in Financial Modelling (Stochastic Modelling and Applied Probability Book 36) by Marek Musiela, Marek Rutkowski (auth.) is a nonfiction available to read on EtoBox.

What is Martingale Methods in Financial Modelling (Stochastic Modelling and Applied Probability Book 36) about?

This book provides a comprehensive, self-contained and up-to-date treatment of the main topics in the theory of option pricing. The first part of the text starts with discrete-time models of financial markets, including the Cox-Ross-Rubinstein binomial model. The passage from discrete- to continuous-time models, done in the Black-Scholes model setting, assumes familiarity with basic ideas and results from stochastic calculus. However, an Appendix containing all the necessary results is included. This model setting is later generalized to cover standard and exotic options involving several assets and/or currencies. An outline of the general theory of arbitrage pricing is presented. The second part of the text is devoted to the term structure modelling and the pricing of interest-rate derivatives. The main emphasis is on models that can be made consistent with market pricing practice. In the 2 nd edition, some sections of the former Part I are omitted for better readability, and a brand new chapter is devoted to volatility risk. 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 simplifi

Who reads Martingale Methods in Financial Modelling (Stochastic Modelling and Applied Probability Book 36)?

Author

Marek Musiela, Marek Rutkowski (auth.)

Publisher

Springer-Verlag Berlin Heidelberg

Published

2005

Language

EN

ISBN

9783540266532

Category

nonfiction

Subjects

Mathematics, Economics, Finance

Updated

2026-03-24