Martingale methods in financial modelling:
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Berlin [u.a.]
Springer
2007
|
| Ausgabe: | 2. ed., corr. 2. printing |
| Schriftenreihe: | Stochastic modelling and applied probability
36 |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis Klappentext |
| Beschreibung: | Literaturverz. S. [623] - 672 |
| Beschreibung: | XIX, 680 S. |
| ISBN: | 3540209662 9783540209669 |
Internformat
MARC
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| 245 | 1 | 0 | |a Martingale methods in financial modelling |c Marek Musiela ; Marek Rutkowski |
| 250 | |a 2. ed., corr. 2. printing | ||
| 264 | 1 | |a Berlin [u.a.] |b Springer |c 2007 | |
| 300 | |a XIX, 680 S. | ||
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| 490 | 1 | |a Stochastic modelling and applied probability |v 36 | |
| 500 | |a Literaturverz. S. [623] - 672 | ||
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| 650 | 4 | |a Options (Finance) |x Mathematical models | |
| 650 | 4 | |a Derivative securities |x Mathematical models | |
| 650 | 4 | |a Interest rates |x Mathematical models | |
| 650 | 4 | |a Fixed-income securities |x Mathematical models | |
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Datensatz im Suchindex
| _version_ | 1804136477871833088 |
|---|---|
| adam_text | Contents
Preface
Note on the Second Printing
Preface to the First Edition
Part I Spot and Futures Markets
1
1.1
1.2
1.3
1.4
1.4.1
1.4.2
1.4.3
1.4.4
1.4.5
1.4.6
1.5
1.5.1
1.5.2
1.5.3
1.5.4
1.5.5
1.6
1.6.1
1.7
1.8
xii Contents
2
2.1
2.1.1
2.1.2
2.1.3
2.2
2.2.1
2.2.2
2.3
2.4
2.4.1
2.4.2
2.4.3
2.5
2.6
2.6.1
2.6.2
2.6.3
2.6.4
2.6.5
2.6.6
2.6.7
2.7
2.7.1
2.7.2
2.7.3
2.8
2.9
3
3.1
3.1.1
3.1.2
3.1.3
3.1.4
3.1.5
3.1.6
3.1.7
3.1.8
3.1.9
3.1.10
3.1.11
3.1.12
3.1.13
Contents xüi
3.2
3.2.1
3.2.2
3.3
3.3.1
3.3.2
3.3.3
3.4
3.4.1
3.4.2
3.4.3
3.4.4
3.4.5
3.5
3.5.1
3.5.2
3.5.3
3.5.4
4
4.1
4.1.1
4.1.2
4.1.3
4.2
4.2.1
4.2.2
4.3
4.3.1
4.3.2
4.4
4.5
4.5.1
4.5.2
4.5.3
4.5.4
5
5.1
5.2
5.3
5.4
5.5
5.6
xiv Contents
6
6.1
6.2
6.3
6.4
6.5
6.6
6.7
6.8
6.9
6.10
6.11
7
7.1
7.1.1
7.1.2
7.1.3
7.1.4
7.1.5
7.1.6
7.1.7
7.1.8
7.1.9
7.1.10
7.2
7.2.1
7.2.2
7.3
7.3.1
7.3.2
7.3.3
7.3.4
7.4
7.4.1
7.4.2
7.4.3
7.4.4
7.4.5
7.5
7.5.1
7.5.2
7.6
7.6.1
7.6.2
Contents xv
8
8.1
8.1.1
8.1.2
8.1.3
8.1.4
8.1.5
8.2
8.2.1
8.2.2
8.2.3
8.2.4
Part II Fixed-income Markets
9
9.1
9.1.1
9.1.2
9.1.3
9.2
9.2.1
9.2.2
9.3
9.3.1
9.3.2
9.3.3
9.3.4
9.4
9.4.1
9.5
9.5.1
9.5.2
9.5.3
9.5.4
9.6
9.6.1
9.6.2
9.6.3
9.6.4
xvi Contents
10
10.1
10.1.1
10.1.2
10.1.3
10.1.4
10.1.5
10.2
10.2.1
10.2.2 Affine
10.2.3
10.3
10.3.1
10.3.2
10.3.3
10.3.4
10.3.5
10.3.6
10.3.7
10.3.8
10.3.9
11
11.1
11.1.1
11.1.2
11.1.3
11.1.4
11.2
11.2.1
11.3
11.3.1
11.3.2
11.3.3
11.3.4
11.3.5
11.4
11.4.1
11.4.2
11.5
11.5.1
11.6
11.6.1
11.6.2
11.7
Contents xvii
12 Market
12.1
12.1.1
12.1.2
12.1.3
12.1.4
12.2
12.3
12.3.1
12.3.2
12.3.3
12.4
12.4.1
12.4.2
12.4.3
12.4.4
12.4.5
12.4.6
12.4.7
12.5
12.5.1
12.5.2
12.6
12.6.1
12.6.2
12.6.3
12.6.4
12.7
13
13.1
13.1.1
13.1.2
13.1.3
13.2
13.2.1
13.2.2
13.2.3
13.3
13.3.1
13.3.2
13.3.3
13.3.4
xviii Contents
13.4
13.4.1
13.4.2
13.5
13.5.1
13.5.2
13.6
13.6.1
13.6.2
13.7
13.7.1
13.7.2
13.8
13.8.1
13.8.2
14
14.1
14.1.1
14.1.2
14.1.3
14.2
14.2.1
14.2.2
14.2.3
14.2.4
14.2.5
14.3
14.3.1
14.3.2
14.4
Partili
A An Overview of
A.
A.2 Filtrations and Adapted Processes
A.3 Martingales
A.4 Standard Brownian Motion
A.5 Stopping Times and Martingales
A.6
A.7 Continuous Local Martingales
A.8 Continuous Semimartingales
A.9
Contents xix
АЛО
A.
A.12 Stochastic Differential Equations
A.
A.14
A.15 Girsanov s Theorem
A.
A.17 Feynman-Kac Formula
A.18 First Passage Times
Index
M. MUSIELA
Martingale
his 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 starts with discrete-time models of financial
markets, including the Cox-Ross-Rubinstein binomial model. The
passage from discrete- to continuous-time models, done in the Black-
Scholes model setting, assumes familiarity with basic ideas and
results from stochastic calculus. However, an Appendix containing
all the necessary results is included. This model setting is later gener¬
alized to cover standard and exotic options involving several assets
and/or currencies. An outline of the general theory of arbitrage
pricing is presented. The second part of the text is devoted to the
term structure modelling and the pricing of interest-rate derivatives.
The main emphasis is on models that can be made consistent with
market pricing practice.
In the
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.
Part
volatility risk appears systematically. Much more detailed analysis
of the various interest-rate models is available. The authors perspec¬
tive throughout is that the choice of a model should be based on
the reality of how a particular sector of the financial market func¬
tions. In particular, it should concentrate on defining liquid primary
and derivative assets and identifying the relevant sources of trading
risk.
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 the practical rather than the theoretical aspects of
financial modelling.
|
| adam_txt |
Contents
Preface
Note on the Second Printing
Preface to the First Edition
Part I Spot and Futures Markets
1
1.1
1.2
1.3
1.4
1.4.1
1.4.2
1.4.3
1.4.4
1.4.5
1.4.6
1.5
1.5.1
1.5.2
1.5.3
1.5.4
1.5.5
1.6
1.6.1
1.7
1.8
xii Contents
2
2.1
2.1.1
2.1.2
2.1.3
2.2
2.2.1
2.2.2
2.3
2.4
2.4.1
2.4.2
2.4.3
2.5
2.6
2.6.1
2.6.2
2.6.3
2.6.4
2.6.5
2.6.6
2.6.7
2.7
2.7.1
2.7.2
2.7.3
2.8
2.9
3
3.1
3.1.1
3.1.2
3.1.3
3.1.4
3.1.5
3.1.6
3.1.7
3.1.8
3.1.9
3.1.10
3.1.11
3.1.12
3.1.13
Contents xüi
3.2
3.2.1
3.2.2
3.3
3.3.1
3.3.2
3.3.3
3.4
3.4.1
3.4.2
3.4.3
3.4.4
3.4.5
3.5
3.5.1
3.5.2
3.5.3
3.5.4
4
4.1
4.1.1
4.1.2
4.1.3
4.2
4.2.1
4.2.2
4.3
4.3.1
4.3.2
4.4
4.5
4.5.1
4.5.2
4.5.3
4.5.4
5
5.1
5.2
5.3
5.4
5.5
5.6
xiv Contents
6
6.1
6.2
6.3
6.4
6.5
6.6
6.7
6.8
6.9
6.10
6.11
7
7.1
7.1.1
7.1.2
7.1.3
7.1.4
7.1.5
7.1.6
7.1.7
7.1.8
7.1.9
7.1.10
7.2
7.2.1
7.2.2
7.3
7.3.1
7.3.2
7.3.3
7.3.4
7.4
7.4.1
7.4.2
7.4.3
7.4.4
7.4.5
7.5
7.5.1
7.5.2
7.6
7.6.1
7.6.2
Contents xv
8
8.1
8.1.1
8.1.2
8.1.3
8.1.4
8.1.5
8.2
8.2.1
8.2.2
8.2.3
8.2.4
Part II Fixed-income Markets
9
9.1
9.1.1
9.1.2
9.1.3
9.2
9.2.1
9.2.2
9.3
9.3.1
9.3.2
9.3.3
9.3.4
9.4
9.4.1
9.5
9.5.1
9.5.2
9.5.3
9.5.4
9.6
9.6.1
9.6.2
9.6.3
9.6.4
xvi Contents
10
10.1
10.1.1
10.1.2
10.1.3
10.1.4
10.1.5
10.2
10.2.1
10.2.2 Affine
10.2.3
10.3
10.3.1
10.3.2
10.3.3
10.3.4
10.3.5
10.3.6
10.3.7
10.3.8
10.3.9
11
11.1
11.1.1
11.1.2
11.1.3
11.1.4
11.2
11.2.1
11.3
11.3.1
11.3.2
11.3.3
11.3.4
11.3.5
11.4
11.4.1
11.4.2
11.5
11.5.1
11.6
11.6.1
11.6.2
11.7
Contents xvii
12 Market
12.1
12.1.1
12.1.2
12.1.3
12.1.4
12.2
12.3
12.3.1
12.3.2
12.3.3
12.4
12.4.1
12.4.2
12.4.3
12.4.4
12.4.5
12.4.6
12.4.7
12.5
12.5.1
12.5.2
12.6
12.6.1
12.6.2
12.6.3
12.6.4
12.7
13
13.1
13.1.1
13.1.2
13.1.3
13.2
13.2.1
13.2.2
13.2.3
13.3
13.3.1
13.3.2
13.3.3
13.3.4
xviii Contents
13.4
13.4.1
13.4.2
13.5
13.5.1
13.5.2
13.6
13.6.1
13.6.2
13.7
13.7.1
13.7.2
13.8
13.8.1
13.8.2
14
14.1
14.1.1
14.1.2
14.1.3
14.2
14.2.1
14.2.2
14.2.3
14.2.4
14.2.5
14.3
14.3.1
14.3.2
14.4
Partili
A An Overview of
A.
A.2 Filtrations and Adapted Processes
A.3 Martingales
A.4 Standard Brownian Motion
A.5 Stopping Times and Martingales
A.6
A.7 Continuous Local Martingales
A.8 Continuous Semimartingales
A.9
Contents xix
АЛО
A.
A.12 Stochastic Differential Equations
A.
A.14
A.15 Girsanov's Theorem
A.
A.17 Feynman-Kac Formula
A.18 First Passage Times
Index
M. MUSIELA
Martingale
his 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 starts with discrete-time models of financial
markets, including the Cox-Ross-Rubinstein binomial model. The
passage from discrete- to continuous-time models, done in the Black-
Scholes model setting, assumes familiarity with basic ideas and
results from stochastic calculus. However, an Appendix containing
all the necessary results is included. This model setting is later gener¬
alized to cover standard and exotic options involving several assets
and/or currencies. An outline of the general theory of arbitrage
pricing is presented. The second part of the text is devoted to the
term structure modelling and the pricing of interest-rate derivatives.
The main emphasis is on models that can be made consistent with
market pricing practice.
In the
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.
Part
volatility risk appears systematically. Much more detailed analysis
of the various interest-rate models is available. The authors'perspec¬
tive throughout is that the choice of a model should be based on
the reality of how a particular sector of the financial market func¬
tions. In particular, it should concentrate on defining liquid primary
and derivative assets and identifying the relevant sources of trading
risk.
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 the practical rather than the theoretical aspects of
financial modelling. |
| any_adam_object | 1 |
| any_adam_object_boolean | 1 |
| author | Musiela, Marek 1950- Rutkowski, Marek |
| author_GND | (DE-588)124044719 |
| author_facet | Musiela, Marek 1950- Rutkowski, Marek |
| author_role | aut aut |
| author_sort | Musiela, Marek 1950- |
| author_variant | m m mm m r mr |
| building | Verbundindex |
| bvnumber | BV022412123 |
| callnumber-first | H - Social Science |
| callnumber-label | HG6024 |
| callnumber-raw | HG6024.A3.M87 2005 |
| callnumber-search | HG6024.A3.M87 2005 |
| callnumber-sort | HG 46024 A3 M87 42005 |
| callnumber-subject | HG - Finance |
| classification_rvk | QK 620 QK 660 |
| ctrlnum | (OCoLC)174112571 (DE-599)BVBBV022412123 |
| dewey-full | 332.01/519236 332/.01/511822 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.01/519236 332/.01/5118 22 |
| dewey-search | 332.01/519236 332/.01/5118 22 |
| dewey-sort | 3332.01 6519236 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| discipline_str_mv | Wirtschaftswissenschaften |
| edition | 2. ed., corr. 2. printing |
| format | Book |
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| id | DE-604.BV022412123 |
| illustrated | Not Illustrated |
| index_date | 2024-07-02T17:22:28Z |
| indexdate | 2024-07-09T20:57:02Z |
| institution | BVB |
| isbn | 3540209662 9783540209669 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-015620597 |
| oclc_num | 174112571 |
| open_access_boolean | |
| owner | DE-706 DE-355 DE-BY-UBR DE-521 |
| owner_facet | DE-706 DE-355 DE-BY-UBR DE-521 |
| physical | XIX, 680 S. |
| publishDate | 2007 |
| publishDateSearch | 2007 |
| publishDateSort | 2007 |
| publisher | Springer |
| record_format | marc |
| series | Stochastic modelling and applied probability |
| series2 | Stochastic modelling and applied probability |
| spelling | Musiela, Marek 1950- Verfasser (DE-588)124044719 aut Martingale methods in financial modelling Marek Musiela ; Marek Rutkowski 2. ed., corr. 2. printing Berlin [u.a.] Springer 2007 XIX, 680 S. txt rdacontent n rdamedia nc rdacarrier Stochastic modelling and applied probability 36 Literaturverz. S. [623] - 672 Mathematisches Modell Options (Finance) Mathematical models Derivative securities Mathematical models Interest rates Mathematical models Fixed-income securities Mathematical models Finance Mathematical models Modellierung (DE-588)4170297-9 gnd rswk-swf Finanzmathematik (DE-588)4017195-4 gnd rswk-swf Optionspreistheorie (DE-588)4135346-8 gnd rswk-swf Martingaltheorie (DE-588)4168982-3 gnd rswk-swf Martingal (DE-588)4126466-6 gnd rswk-swf Kapitalmarkttheorie (DE-588)4137411-3 gnd rswk-swf Finanzmathematik (DE-588)4017195-4 s Modellierung (DE-588)4170297-9 s Martingal (DE-588)4126466-6 s 1\p DE-604 Martingaltheorie (DE-588)4168982-3 s 2\p DE-604 Optionspreistheorie (DE-588)4135346-8 s 3\p DE-604 Kapitalmarkttheorie (DE-588)4137411-3 s 4\p DE-604 Rutkowski, Marek Verfasser aut Stochastic modelling and applied probability 36 (DE-604)BV000895226 36 Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=015620597&sequence=000003&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=015620597&sequence=000004&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA Klappentext 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 2\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 3\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 4\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Musiela, Marek 1950- Rutkowski, Marek Martingale methods in financial modelling Stochastic modelling and applied probability Mathematisches Modell Options (Finance) Mathematical models Derivative securities Mathematical models Interest rates Mathematical models Fixed-income securities Mathematical models Finance Mathematical models Modellierung (DE-588)4170297-9 gnd Finanzmathematik (DE-588)4017195-4 gnd Optionspreistheorie (DE-588)4135346-8 gnd Martingaltheorie (DE-588)4168982-3 gnd Martingal (DE-588)4126466-6 gnd Kapitalmarkttheorie (DE-588)4137411-3 gnd |
| subject_GND | (DE-588)4170297-9 (DE-588)4017195-4 (DE-588)4135346-8 (DE-588)4168982-3 (DE-588)4126466-6 (DE-588)4137411-3 |
| title | Martingale methods in financial modelling |
| title_auth | Martingale methods in financial modelling |
| title_exact_search | Martingale methods in financial modelling |
| title_exact_search_txtP | Martingale methods in financial modelling |
| title_full | Martingale methods in financial modelling Marek Musiela ; Marek Rutkowski |
| title_fullStr | Martingale methods in financial modelling Marek Musiela ; Marek Rutkowski |
| title_full_unstemmed | Martingale methods in financial modelling Marek Musiela ; Marek Rutkowski |
| title_short | Martingale methods in financial modelling |
| title_sort | martingale methods in financial modelling |
| topic | Mathematisches Modell Options (Finance) Mathematical models Derivative securities Mathematical models Interest rates Mathematical models Fixed-income securities Mathematical models Finance Mathematical models Modellierung (DE-588)4170297-9 gnd Finanzmathematik (DE-588)4017195-4 gnd Optionspreistheorie (DE-588)4135346-8 gnd Martingaltheorie (DE-588)4168982-3 gnd Martingal (DE-588)4126466-6 gnd Kapitalmarkttheorie (DE-588)4137411-3 gnd |
| topic_facet | Mathematisches Modell Options (Finance) Mathematical models Derivative securities Mathematical models Interest rates Mathematical models Fixed-income securities Mathematical models Finance Mathematical models Modellierung Finanzmathematik Optionspreistheorie Martingaltheorie Martingal Kapitalmarkttheorie |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=015620597&sequence=000003&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=015620597&sequence=000004&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA |
| volume_link | (DE-604)BV000895226 |
| work_keys_str_mv | AT musielamarek martingalemethodsinfinancialmodelling AT rutkowskimarek martingalemethodsinfinancialmodelling |