Martingale Methods in Financial Modelling - Stochastic Modelling and Applied Probability 36 (Paperback)
  • Martingale Methods in Financial Modelling - Stochastic Modelling and Applied Probability 36 (Paperback)
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Martingale Methods in Financial Modelling - Stochastic Modelling and Applied Probability 36 (Paperback)

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£79.99
Paperback 638 Pages / Published: 19/10/2010
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A new edition of a successful, well-established book that provides the reader with a text focused on practical rather than theoretical aspects of financial modelling

Includes a new chapter devoted to volatility risk

The theme of stochastic volatility reappears systematically and has been revised fundamentally, presenting a much more detailed analyses of interest-rate models

Publisher: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
ISBN: 9783642058981
Number of pages: 638
Weight: 1116 g
Dimensions: 235 x 155 x 37 mm
Edition: 2nd ed. 2005


MEDIA 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." (Ludger Overbeck, Mathematical Reviews, Issue 2005 m)

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