Martingale Methods in Financial Modelling
Description
A comprehensive and self-contained treatment of the theory and practice of option pricing. The role of martingale methods in financial modeling is exposed. The emphasis is on using arbitrage-free models already accepted by the market as well as on building the new ones. Standard calls and puts together with numerous examples of exotic options such as barriers and quantos, for example on stocks, indices, currencies and interest rates are analysed. The importance of choosing a convenient numeraire in price calculations is explained. Mathematical and financial language is used so as to bring mathematicians closer to practical problems of finance and presenting to the industry useful maths tools.
Reviews / Votes
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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