Martingale Methods in Financial Modelling

Series: Stochastic Modelling and Applied Probability , Vol. 36
Musiela, Marek, Rutkowski, Marek

2nd ed. 2005. Corr. 2nd printing, 2007, XIX, 680 p., Hardcover

ISBN: 978-3-540-20966-9

About this book
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.

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 based on 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 outstandingly successful, well-established book, concentrating on the most pertinent and widely accepted modelling approaches, provides the reader with a text focused on practical rather than theoretical aspects of financial modelling.

Written for:
Researchers and students in mathematical finance, students of business schools, quantitative analysts

Keywords:
arbitrage
martingales
mathematical finance
options
stochastic volatility
swaps
term structure

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