E-Book, Englisch, 513 Seiten, Web PDF
Musiela Martingale Methods in Financial Modelling
Erscheinungsjahr 2013
ISBN: 978-3-662-22132-7
Verlag: Springer
Format: PDF
Kopierschutz: 1 - PDF Watermark
E-Book, Englisch, 513 Seiten, Web PDF
Reihe: Stochastic Modelling and Applied Probability
ISBN: 978-3-662-22132-7
Verlag: Springer
Format: PDF
Kopierschutz: 1 - PDF Watermark
From the reviews of the first edition:
"On the whole, this book presents a very wide range of topics and will appeal to both practitioners and mathematicians. …the second part gives an excellent overview of the state of the art in term structure research and will set a clear standard for some time to come." MathSciNet
Zielgruppe
Research
Autoren/Hrsg.
Weitere Infos & Material
I. Spot and Futures Markets.- 1. An Introduction to Financial Derivatives.- 2. The Cox-Ross-Rubinstein Model.- 3. Finite Security Markets.- 4. Market Imperfections.- 5. The Black-Scholes Model.- 6. Modifications of the Black-Scholes Model.- 7. Foreign Market Derivatives.- 8. American Options.- 9. Exotic Options.- 10. Continuous-time Security Markets.- II. Fixed-income Markets.- 11. Interest Rates and Related Contracts.- 12. Models of the Short-term Rate.- 13. Models of Instantaneous Forward Rates.- 14. Models of Bond Prices and LIBOR Rates.- 15. Option Valuation in Gaussian Models.- 16. Swap Derivatives.- 17. Cross-currency Derivatives.- III. Appendices.- A. Conditional Expectations.- B. Itô Stochastic Calculus.- References.
