Martingale methods in financial modeling

Marek Musiela, Marek Rutkowski

518 pages, parution le 01/04/1998

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Résumé

The 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 deals with simple discrete models of financial markets, including the Cox- Ross-Rubinstein binomial model. No knowledge of probability and stochastic processes is assumed at this stage, while most of the concepts from modern mathematical finance are explained at a very elementary mathematical level. The passage from the discrete to the continuous market models, done in the BlackScholes model setting, assumes familiarity with basic ideas and results from stochastic calculus such as Wiener process and Ito formula; however, an appendix containing all the necessary results is included. The Black-Scholes setting is later generalized to cover standard and exotic options involving several assets and/or currencies. Numerous examples of exotic options are analysed. An outline of a general theory of arbitrage pricing is presented. A very substantial part of the text is devoted to term structure modelling and to the pricing of interest rate options. The HJM framework is discussed in detail. Models based on the forward LIBOR and forward swap rates are introduced. The main emphasis is on models that can be made consistent with the market pricing practice.

Table of Contents

Preface
Note on the Second Printing
Part I Spot and Futures Markets
An Introduction to Financial Derivatives
Finite Security Markets
Market Imperfections
The Black-Scholes Model
Modifications of The Black-Scholes Model
Foreign Market Derivatives
American Options
Exotic Options
Continuous-time Security Markets
Part II Fixed-income Markets
11 Interest Rates and Related Contracts
Models of the Short-term Rate
Models of Instantaneous Forward Rates
Option Valuation in Gaussian Models
Swap Derivatives
Cross-currency Derivates
Part III Appendices
Conditional Expectations

Caractéristiques techniques

	PAPIER
Éditeur(s)	Springer
Auteur(s)	Marek Musiela, Marek Rutkowski
Parution	01/04/1998
Nb. de pages	518
Format	15,8 x 24
Couverture	Relié
Poids	914g
Intérieur	Noir et Blanc
EAN13	9783540614777