Marek Musiela's Books

Martingale Methods in Financial Modelling

By: Marek Musiela

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Martingale Methods in Financial Modelling

By: Marek Musiela

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.

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Page Count

521

Publisher

Springer Science & Business Media

Published Date

ISBN 10

3662221322

ISBN 13

9783662221327

Paris-Princeton Lectures on Mathematical Finance 2003

By: Tomasz R. Bielecki,Tomas Björk,Monique Jeanblanc,Marek Rutkowski,Jose A. Scheinkman,Wei Xiong

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Paris-Princeton Lectures on Mathematical Finance 2003

By: Tomasz R. Bielecki,Tomas Björk,Monique Jeanblanc,Marek Rutkowski,Jose A. Scheinkman,Wei Xiong

The Paris-Princeton Lectures in Financial Mathematics, of which this is the second volume, will, on an annual basis, publish cutting-edge research in self-contained, expository articles from outstanding - established or upcoming! - specialists. The aim is to produce a series of articles that can serve as an introductory reference for research in the field. It arises as a result of frequent exchanges between the finance and financial mathematics groups in Paris and Princeton. This volume presents the following articles: "Hedging of Defaultable Claims" by T. Bielecki, M. Jeanblanc, and M. Rutkowski; "On the Geometry of Interest Rate Models" by T. Björk; "Heterogeneous Beliefs, Speculation and Trading in Financial Markets" by J.A. Scheinkman, and W. Xiong.

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Page Count

259

Publisher

Springer

Published Date

ISBN 10

3540444688

ISBN 13

9783540444688

Credit Risk: Modeling, Valuation and Hedging

By: Tomasz R. Bielecki,Marek Rutkowski

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Credit Risk: Modeling, Valuation and Hedging

By: Tomasz R. Bielecki,Marek Rutkowski

The motivation for the mathematical modeling studied in this text on developments in credit risk research is the bridging of the gap between mathematical theory of credit risk and the financial practice. Mathematical developments are covered thoroughly and give the structural and reduced-form approaches to credit risk modeling. Included is a detailed study of various arbitrage-free models of default term structures with several rating grades.

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Page Count

517

Publisher

Springer Science & Business Media

Published Date

ISBN 10

3662048213

ISBN 13

9783662048214

Mathematics for Finance

An Introduction to Financial Engineering

By: Marek Capinski,Tomasz Zastawniak

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Mathematics for Finance

An Introduction to Financial Engineering

By: Marek Capinski,Tomasz Zastawniak

This textbook contains the fundamentals for an undergraduate course in mathematical finance aimed primarily at students of mathematics. Assuming only a basic knowledge of probability and calculus, the material is presented in a mathematically rigorous and complete way. The book covers the time value of money, including the time structure of interest rates, bonds and stock valuation; derivative securities (futures, options), modelling in discrete time, pricing and hedging, and many other core topics. With numerous examples, problems and exercises, this book is ideally suited for independent study.

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Page Count

317

Publisher

Springer

Published Date

ISBN 10

1852338466

ISBN 13

9781852338466

Martingale Methods in Financial Modelling

By: Marek Musiela

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Martingale Methods in Financial Modelling

By: Marek Musiela

Average ratings

N/A

Write a review

Solve jigsaw puzzle

Age

Page Count

521

Publisher

Springer Science & Business Media

Published Date

ISBN 10

3662221322

ISBN 13

9783662221327

Book's by Marek Musiela

Martingale Methods in Financial Modelling

Martingale Methods in Financial Modelling

Paris-Princeton Lectures on Mathematical Finance 2003

Paris-Princeton Lectures on Mathematical Finance 2003

Credit Risk: Modeling, Valuation and Hedging

Credit Risk: Modeling, Valuation and Hedging

Mathematics for Finance

Mathematics for Finance

Martingale Methods in Financial Modelling

Martingale Methods in Financial Modelling

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