Martingale Methods in Financial Modelling

Marek Musiela, 2004, Stochastic Modelling and Applied Probability

Overview

This second edition of Martingale Methods in Financial Modelling offers a revised approach to financial modeling. It introduces a new chapter dedicated to volatility risk, expanding beyond the Black-Scholes framework. The book systematically addresses stochastic volatility and provides detailed analyses of various interest-rate models. The authors emphasize basing model choices on the functional reality of financial markets, considering liquid assets and identifying trading risks.

Who it's for

• Readers interested in practical financial modeling techniques.
• Professionals and academics focused on quantitative finance.
• Those seeking to understand volatility risk and interest-rate models.

Key features

• Binding: Hardcover
• Pages: 636
• Publisher: Springer
• Year: 2004
• ISBN: 9783540209669
• Series: Stochastic Modelling and Applied Probability