Martingale Methods in Financial Modelling

by Marek Rutkowski and Marek Musiela

Book Overview

In the 2nd 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 3rd printing of the 2nd edition, the second Chapter on discrete-time markets has been extensively revised. Proofs of several results are simplified...

• Format: Paperback
• Language: English
• ISBN: 3642058981
• ISBN13: 9783642058981
• Release Date: October 2010
• Publisher: Springer
• Length: 720 Pages
• Weight: 2.10 lbs.
• Dimensions: 1.7" x 6.1" x 9.2"