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Titre :
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Martingale methods in financial modelling
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Auteurs :
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M. Musiela ;
M. Rutkowski
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Type de document :
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ouvrage
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Editeur :
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London [GB] : Springer, 1997
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Collection :
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Stochastic Modelling and Applied Probability (DEU), ISSN 0172-4568
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ISBN/ISSN/EAN :
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978-3-540-61477-7
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Format :
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518 p.
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Note générale :
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bibl.
Diffusion tous publics
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Langues:
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= Anglais
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Catégories :
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Methodologie
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Mots-clés:
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PRIX
;
METHODE
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Résumé :
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The book provides a up to date treatment of the main topics in the theory of option pricing. The first part of the text deals with simple discrete models of financial markets, including the Cox-Ross-Rubinstein binomial model. No knowledge of probability and stochastic processes is assumed at this stage, while most of the concepts from modern mathematical finance are explained at a very elementary mathematical level. The passage from the discrete to the continuous market models, done in the Black-Scholes model setting, assumes familiarity with basic ideas and results from stochastic calculus such as Wiener process and Itô formula.
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