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Description of Martingale Methods in Financial Modelling |
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.
The theme of stochastic volatility reappears systematically in Part II, that has been revised fundamentally, presenting much more detailed analyses of interest-rate models: the authors' perspective throughout is that the choice of a model should be based on 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.
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Contents of Martingale Methods in Financial Modelling |
An Introduction to Financial Derivatives
The Cox-Ross-Rubinstein Model
Finite Security Markets
The Black-Scholes Model
Foreign Market Derivatives
Americal Options
Exotic Options
Continuous-time Security Markets
Interest Rates and Related Contracts
Models of the Short-term Rate
Models of Instantaneous Forward Rates
Models of Bond Prices and LIBOR Rates
Option Valuation in Gaussian Models
Swap Derivatives
Cross-currency Derivatives
Appendices: Conditional Expectations, Itô Stochastic Calculus
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