Martingale methods in financial modelling. (Q703592): Difference between revisions
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Latest revision as of 02:38, 20 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Martingale methods in financial modelling. |
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Martingale methods in financial modelling. (English)
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11 January 2005
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For the first edition (1997) see Zbl 0906.60001, where a detailed review can be found. In the 2nd edition some sections of Part I are omitted, and a new chapter is devoted to volatility risk. Hedging of plain-vanilla options and valuation of exotic options are not limited to the Black-Scholes framework with constant volatility. Stochastic volatility also reappears in the second part of the book, which has been revised fundamentally. The analysis of the various interest-rate models available is more detailed than in the 1st edition.
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mathematical finance
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martingale techniques
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financial derivatives
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continuous time models
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stochastic volatility
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interest rate models
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stochastic calculus
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