Sign-In
Cart
Martingale Methods in Financial Modelling
Hardcover
Series: Stochastic Modelling and Applied Probability, Book 36
Investing & FinanceGeneral MathematicsProbability & Statistics
ISBN13: 9783540209669
Publisher: Springer
Published: Nov 25 2004
Pages: 636
Weight: 2.39
Height: 1.60 Width: 6.38 Depth: 9.46
Language: English
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 and completely new sections on optimal stopping problems and Dynkin games are added. Applications to the valuation and hedging of American-style and game options are presented in some detail.
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 basedon 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.
1 different editions
Also available
Also from
Musiela, Marek
Also in
General Mathematics
The Golden Number: Pythagorean Rites and Rhythms in the Development of Western Civilization
Ghyka, Matila C.
Hardcover
How It All Works: All Scientific Laws and Phenomena Illustrated & Demonstrated
Dant, Adam
Clegg, Brian
Hardcover
Hidden Figures: The American Dream and the Untold Story of the Black Women Mathematicians Who Helped Win the Space Race
Shetterly, Margot Lee
Paperback
Six Easy Pieces: Essentials of Physics Explained by Its Most Brilliant Teacher
Leighton, Robert B.
Sands, Matthew
Feynman, Richard P.
Paperback
Oliver Byrne's Elements of Euclid: The First Six Books with Coloured Diagrams and Symbols (Art Meets Science Edition)
Art Meets Science
Hardcover
Math Practice Workbook Grades 6-8: 1000+ Questions You Need to Kill in Middle School by Brain Hunter Prep
Brain Hunter Prep
Paperback
Who Gets What -- And Why: The New Economics of Matchmaking and Market Design
Roth, Alvin E.
Paperback
Tomoko Fuse's Amazing Kusudama Origami: Geometric Paper Art from Japan's Leading Expert!
Fuse, Tomoko
Paperback
The Art of Strategy: A Game Theorist's Guide to Success in Business and Life
Dixit, Avinash K.
Nalebuff, Barry J.
Paperback
Mastering Essential Math Skills Book 2, Bilingual Edition - English/Spanish
Fisher, Richard W.
Paperback
Hidden Figures: The American Dream and the Untold Story of the Black Women Mathematicians Who Helped Win the Space Race
Shetterly, Margot Lee
Hardcover
The Great Math War: How Three Brilliant Minds Fought for the Foundations of Mathematics
Bardi, Jason Socrates
Hardcover
Math Games with Bad Drawings: 75 1/4 Simple, Challenging, Go-Anywhere Games--And Why They Matter
Orlin, Ben
Hardcover
Counting with - Contando Con Frida (Bilingual: English/Spanish): A Bilingual Counting Book
Rodriguez, Patty
Stein, Ariana
Hardcover
Hidden Figures: The American Dream and the Untold Story of the Black Women Mathematicians Who Helped Win the Space Race
Shetterly, Margot Lee
Paperback
Quadrivium: The Four Classical Liberal Arts of Number, Geometry, Music, & Cosmology
Sutton, Daud
Lundy, Miranda
Ashton, Anthony
Hardcover
50 Math Tricks That Will Change Your Life: Mentally Solve the Impossible in Seconds
Zakowich, Tanya
Paperback
Graph Paper Composition Notebook: Quad Ruled 5x5, Grid Paper for Students in Math and Science
Wizo, Math
Paperback
New York Post Fiendish Sudoku: The Official Utterly Addictive Number-Placing Puzzle
Gould, Wayne
Paperback
Vector: A Surprising Story of Space, Time, and Mathematical Transformation
Arianrhod, Robyn
Hardcover
Touchthinklearn: Numbers: (Board Books for Baby Learners, Touch Feel Books for Children)
Deneux, Xavier
Hardcover
ALEKS Math Placement Test Prep 2026: 1200 Verified Practice Questions with Accurate Answer Keys, Step-by-Step Worked Solutions, and Clear Concept Expl
Reid, Marcus L.
Publishing, Kettford
Paperback
A Mind for Numbers: How to Excel at Math and Science (Even If You Flunked Algebra)
Oakley, Barbara
Paperback
Sudoku for Brain Fitness: 90-Day Challenge to Sharpen the Mind and Strengthen Cognitive Skills
Clontz, Steven
Demyanovich, Julie
Paperback
WorkKeys Study Guide and Practice Test Questions: ACT WorkKeys Exam Prep and Review Book with Applied Mathematics, Locating Information, and Reading f
Trivium Exam Prep Team
Paperback
Un Elefante: Numbers / Números (Bilingual: English/Spanish): A Bilingual Counting Book
Stein, Ariana
Rodriguez, Patty
Hardcover
Quantum Mechanics Done Right: The Shortest Path from Novice to Researcher
Freericks, James K.
Hardcover
Talentos Ocultos: La Genialidad No Tiene Color. La Fuerza No Tiene Género. El Valor No Tiene Límite.
Shetterly, Margot Lee
Paperback
Building Thinking Classrooms in Mathematics, Grades K-12: 14 Teaching Practices for Enhancing Learning
Liljedahl, Peter
Paperback
180 Days(tm) Math for First Grade: Practice, Assess, Diagnose
Smith, Jodene
Smith, Jodene Lynn
Paperback
Secrets of Mental Math: The Mathemagician's Guide to Lightning Calculation and Amazing Math Tricks
Shermer, Michael
Benjamin, Arthur
Paperback
Number Systems and the Foundations of Analysis
Mendelson, Elliott
Dudley, Underwood
Mathematics
Paperback
Concrete Mathematics: A Foundation for Computer Science
Patashnik, Oren
Knuth, Donald
Graham, Ronald
Hardcover
Medical Dosage Calculations for Dummies
Snyder, Richard W.
Depuente, Vanessa
Schoenborn, Barry
Paperback
The Beginner's Guide to Constructing the Universe: The Mathematical Archetypes of Nature, Art, and Science
Schneider, Michael S.
Paperback
Sciencia: Mathematics, Physics, Chemistry, Biology, and Astronomy for All
Betts, Moff
Tweed, Matt
Watkins, Matthew
Hardcover
Reaching for the Extreme: How the Quest for the Biggest, Fewest, and Weirdest Makes Math
Stewart, Ian
Hardcover
300 Math CrossWords: Addition, Subtraction, Multiplication, and Division Math CrossWords Grade 3 and Above, Age +8
Martin, Josh Ortiz
Paperback
Math Fundamentals 3 - Geometry: For Middle School - A Quickstudy Laminated Reference Guide
Warren, Peggy
Wright, Susan
Expolog
Other
Machine Learning with PyTorch and Scikit-Learn: Develop machine learning and deep learning models with Python
Raschka, Sebastian
Liu, Yuxi (Hayden)
Mirjalili, Vahid
Paperback
It's All a Game: The History of Board Games from Monopoly to Settlers of Catan
Donovan, Tristan
Paperback
30 More Math Mysteries Kids Can't Resist!: Quick & Clever Mysteries That Boost Problem-Solving Skills
Lee, Martin
Paperback