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Product Description
This comprehensive and self-contained treatment of the theory and practice of option pricing describes the role of martingale methods in financial modelling. The emphasis is on using arbitrage-free models already accepted by the market as well as on building new ones but in a way that makes them consistent with the finance industry's derivatives pricing practice. 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 to present to the industry useful mathematical tools.
Book Info
Presents an up-to-date treatment of the main topics in the theory of option pricing. Deals with simple discrete models of financial markets, the general theory of arbitrage pricing and HJM framework and more.
See all Editorial Reviews
This comprehensive and self-contained treatment of the theory and practice of option pricing describes the role of martingale methods in financial modelling. The emphasis is on using arbitrage-free models already accepted by the market as well as on building new ones but in a way that makes them consistent with the finance industry's derivatives pricing practice. 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 to present to the industry useful mathematical tools.
Book Info
Presents an up-to-date treatment of the main topics in the theory of option pricing. Deals with simple discrete models of financial markets, the general theory of arbitrage pricing and HJM framework and more.
See all Editorial Reviews
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92
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- Theory of Financial Risk and Derivative Pricing: From Statistical Physics to Risk Management by Jean-Philippe Bouchaud on 5 pages
- Handbooks in Mathematical Finance: Option Pricing, Interest Rates and Risk Management by E. Jouini on page 313, page 394, and page 457
- Quantitative Analysis in Financial Markets - Collected Papers of the New York University Mathematical Finance Seminar (Volume 3) by Marco Avellaneda on page 158, page 221, and page 245
- Programming Languages and Systems in Computational Economics and Finance (Advances in Computational Economics) by Soren Bo Nielsen on page 402, and page 438
- Paris-Princeton Lectures on Mathematical Finance 2003 (Lecture Notes in Mathematics) by Tomasz R. Bielecki on page 131, and page 215
See all 92 books citing this book