Martingale Methods in Financial Modelling |
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| Author:
| Musiela, Marek
Rutkowski, Marek |
| Series title: | Stochastic Modelling and Applied Probability Ser. |
| ISBN: | 978-3-540-26653-2 |
| Publication Date: | Jan 2006 |
| Publisher: | Springer London, Limited
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| Book Format: | Ebook |
| List Price: | USD $109.00 |
Book Description:
|
This thoroughly revised second edition includes a brand new chapter devoted to volatility risk. As a consequence, hedging of plain-vanilla options and valuation of exotic options are no longer limited to the Black-Scholes framework with constant volatility.
This thoroughly revised second edition includes a brand new chapter devoted to volatility risk. As a consequence, hedging of plain-vanilla options and valuation of exotic options are no longer limited to the Black-Scholes framework with constant volatility.