Martingale methods in financial modelling
Auteur :
Musiela, Marek / Rutkowski, Marek
Éditeur :
Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
ISBN :
9783642058981
Date de publication :
19 oct. 2010
Dimensions :
23,5 x 15,5 cm
Langue :
Anglais
Pays d'origine :
Allemagne
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.