Martingale Methods in Financial ModellingSeries: Stochastic Modelling and Applied Probability, Vol. 36

Musiela, Marek, Rutkowski, Marek

2nd ed. 2005. Corr. 3rd printing, 2005, XX, 718 p., Hardcover
ISBN: 978-3-540-20966-9

A new edition of a successful, well-established book that provides the reader with a text focused on practical rather than theoretical aspects of financial modelling
Includes a new chapter devoted to volatility risk
The theme of stochastic volatility reappears systematically and has been revised fundamentally, presenting a much more detailed analyses of interest-rate models

Content Level ? Research
Keywords ? arbitrage - martingales - mathematical finance - options - stochastic volatility - swaps - term structure
Related subjects ? Business, Economics & Finance - Finance & Banking - Probability Theory and Stochastic Processes - Quantitative Finance