---

＜電子ブック＞
Martingale Methods in Financial Modelling / by Marek Musiela
(Stochastic Modelling and Applied Probability. ISSN:2197439X ; 36)

版	1st ed. 1997.
出版者	(Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer)
出版年	1997
本文言語	英語
大きさ	XII, 513 p. 2 illus : online resource
著者標目	*Musiela, Marek author SpringerLink (Online service)
件　名	LCSH:Social sciences -- Mathematics  全ての件名で検索 LCSH:Probabilities LCSH:Finance LCSH:Statistics  FREE:Mathematics in Business, Economics and Finance FREE:Probability Theory FREE:Financial Economics FREE:Statistics in Business, Management, Economics, Finance, Insurance
一般注記	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 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 HTTP:URL=https://doi.org/10.1007/978-3-662-22132-7

 類似資料