Martingale Methods in Financial Modelling / by Marek Musiela, Marek Rutkowski
(Applications of Mathematics, Stochastic Modelling and Applied Probability ; 36)
| データ種別 | 電子ブック |
|---|---|
| 出版情報 | Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer , 1997 |
| 本文言語 | 英語 |
| 大きさ | XII, 513 p. 2 illus : online resource |
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| 内容注記 | I. Spot and Futures Markets 1. An Introduction to Financial Derivatives 2. The Cox-Ross-Rubinstein Model 3. Finite Security Markets 4. Market Imperfections 5. The Black-Scholes Model 6. Modifications of the Black-Scholes Model 7. Foreign Market Derivatives 8. American Options 9. Exotic Options 10. Continuous-time Security Markets II. Fixed-income Markets 11. Interest Rates and Related Contracts 12. Models of the Short-term Rate 13. Models of Instantaneous Forward Rates 14. Models of Bond Prices and LIBOR Rates 15. Option Valuation in Gaussian Models 16. Swap Derivatives 17. Cross-currency Derivatives III. Appendices A. Conditional Expectations B. Itô Stochastic Calculus References |
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| 一般注記 | The origin of this book can be traced to courses on financial mathemat ics taught by us at the University of New South Wales in Sydney, Warsaw University of Technology (Politechnika Warszawska) and Institut National Polytechnique de Grenoble. Our initial aim was to write a short text around the material used in two one-semester graduate courses attended by students with diverse disciplinary backgrounds (mathematics, physics, computer sci ence, engineering, economics and commerce). The anticipated diversity of potential readers explains the somewhat unusual way in which the book is written. It starts at a very elementary mathematical level and does not as sume any prior knowledge of financial markets. Later, it develops into a text which requires some familiarity with concepts of stochastic calculus (the basic relevant notions and results are collected in the appendix). Over time, what was meant to be a short text acquired a life of its own and started to grow. The final version can be used as a textbook for three one-semester courses one at undergraduate level, the other two as graduate courses. The first part of the book deals with the more classical concepts and results of arbitrage pricing theory, developed over the last thirty years and currently widely applied in financial markets. The second part, devoted to interest rate modelling is more subjective and thus less standard. A concise survey of short-term interest rate models is presented. However, the special emphasis is put on recently developed models built upon market interest rates |
| 著者標目 | *Musiela, Marek author Rutkowski, Marek author SpringerLink (Online service) |
| 件 名 | LCSH:Mathematics LCSH:Finance LCSH:Economics, Mathematical LCSH:Probabilities LCSH:Statistics FREE:Mathematics FREE:Quantitative Finance FREE:Probability Theory and Stochastic Processes FREE:Finance, general FREE:Statistics for Business/Economics/Mathematical Finance/Insurance |
| 分 類 | DC23:519 |
| 巻冊次 | ISBN:9783662221327 
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| ISBN | 9783662221327 |
| URL | http://dx.doi.org/10.1007/978-3-662-22132-7 |
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