Overview
- Has sold over 8000 copies since release in 1997
- Bridges the mathematical theory and industry practice of option pricing at the ideal level for both audiences
- Brand new chapter on volatility risk
Part of the book series: Stochastic Modelling and Applied Probability (SMAP, volume 36)
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Table of contents (17 chapters)
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Front Matter
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Spot and Futures Markets
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Front Matter
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Keywords
About this book
Reviews
From the reviews:
" …This book is an impressive work of scholarship in mathematical finance in the area of option pricing. …contains the latest results and references. …The presence of many explicit formulae, for various types of derivatives, will make this book attractive to practitioners; and its breadth of content will make it useful for anyone who considers research in mathematical finance." (The Australian and New Zealand Journal of Statistics)
" …On the whole, this book presents a very wide range of topics and will appeal to both practitioners and mathematicians. …the second part gives an excellent overview of the state of the art in term structure research and will set a clear standard for some time to come." (MathSciNet)
" ...The book contains a wealth of material expressed in a clear mathematical way. A definite bonus is the very extensive list of references which gives the reader a most welcome basis from which to explore further the realm of mathematical finance. …The book can be used ideally both as an introductory and as an advanced text on mathematical finance." (Short Book Reviews)
" …This book is a comprehensive and up-to-date presentation of the martingale approach for pricing and hedging derivative securities. …provides a wide range of topics and will appeal to both practitioners and mathematicians. When only special cases or models are provided, the authors give useful references that will help researchers to obtain even more insight in the topics." (ZentralblattMATH)
From the reviews of the second edition:
"The book starts at an elementary level of mathematics as well as of market and product knowledge. … In summary, the book gives a very broad insight into advanced modern financial mathematics, in particular fixed income models. … It will serve as a basic source of knowledge of the described topics in financial mathematics." (LudgerOverbeck, Mathematical Reviews, Issue 2005 m)
Authors and Affiliations
About the authors
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Bibliographic Information
Book Title: Martingale Methods in Financial Modelling
Authors: Marek Musiela, Marek Rutkowski
Series Title: Stochastic Modelling and Applied Probability
DOI: https://doi.org/10.1007/978-3-662-22132-7
Publisher: Springer Berlin, Heidelberg
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eBook Packages: Springer Book Archive
Copyright Information: Springer-Verlag Berlin Heidelberg 1997
eBook ISBN: 978-3-662-22132-7Published: 29 June 2013
Series ISSN: 0172-4568
Series E-ISSN: 2197-439X
Edition Number: 1
Number of Pages: XII, 513
Number of Illustrations: 2 b/w illustrations
Topics: Quantitative Finance, Probability Theory and Stochastic Processes, Finance, general, Statistics for Business, Management, Economics, Finance, Insurance