Continuous-Time Asset Pricing Theory: A Martingale-Based Approach, Jarrow Robert A.

Автор: Musiela Marek
Название: Martingale Methods in Financial Modelling
ISBN: 3540209662 ISBN-13(EAN): 9783540209669
Издательство: Springer
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Цена: 78250.00 T
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Описание: In the 2nd edition some sections of Part I are omitted for better readability, and a brand new chapter is 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. The theme of stochastic volatility also reappears systematically in the second part of the book, which has been revised fundamentally, presenting much more detailed analyses of the various interest-rate models available: the authors' perspective throughout is that the choice of a model should be based on the reality of how a particular sector of the financial market functions, never neglecting to examine liquid primary and derivative assets and identifying the sources of trading risk associated. This long-awaited new edition of an outstandingly successful, well-established book, concentrating on the most pertinent and widely accepted modelling approaches, provides the reader with a text focused on practical rather than theoretical aspects of financial modelling.

Автор: Adam Os?kowski
Название: Sharp Martingale and Semimartingale Inequalities
ISBN: 303480749X ISBN-13(EAN): 9783034807494
Издательство: Springer
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Цена: 102480.00 T
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Описание: This detailed explanation of Burkholder`s method presents, for most estimates, the steps leading to the discovery of the corresponding special functions, and deploys diverse analytic and probabilistic methods to solve the corresponding boundary value problems.

Автор: Norihiko Kazamaki
Название: Continuous Exponential Martingales and BMO
ISBN: 3540580425 ISBN-13(EAN): 9783540580423
Издательство: Springer
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Цена: 23250.00 T
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Описание: In three chapters on Exponential Martingales, BMO-martingales, and Exponential of BMO, this book explains in detail the beautiful properties of continuous exponential martingales that play an essential role in various questions concerning the absolute continuity of probability laws of stochastic processes.

Автор: Revuz, Daniel Yor, Marc
Название: Continuous martingales and brownian motion
ISBN: 3642084001 ISBN-13(EAN): 9783642084003
Издательство: Springer
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Цена: 93130.00 T
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Описание: From the reviews: "This is a magnificent book Its purpose is to describe in considerable detail a variety of techniques used by probabilists in the investigation of problems concerning Brownian motion. The great strength of Revuz and Yor is the enormous variety of calculations carried out both in the main text and also (by implication) in the exercises. ... This is THE book for a capable graduate student starting out on research in probability: the effect of working through it is as if the authors are sitting beside one, enthusiastically explaining the theory, presenting further developments as exercises, and throwing out challenging remarks about areas awaiting further research..."
Bull.L.M.S. 24, 4 (1992) Since the first edition in 1991, an impressive variety of advances has been made in relation to the material of this book, and these are reflected in the successive editions.

Автор: Robert A. Jarrow
Название: Continuous-Time Asset Pricing Theory
ISBN: 303008549X ISBN-13(EAN): 9783030085490
Издательство: Springer
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Цена: 46570.00 T
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Описание: Yielding new insights into important market phenomena like asset price bubbles and trading constraints, this is the first textbook to present asset pricing theory using the martingale approach (and all of its extensions).

Автор: Aydın Nadi Serhan
Название: Financial Modelling with Forward-Looking Information: An Intuitive Approach to Asset Pricing
ISBN: 3319860879 ISBN-13(EAN): 9783319860879
Издательство: Springer
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Цена: 111790.00 T
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Описание: Introduction.- The Signal-based Framework.- A Signal-based Heterogeneous Agent Network.- Putting Signal-based Model to Work.- Conclusion.