Martingale Methods in Financial Modelling:
Gespeichert in:
| Beteilige Person: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | Englisch |
| Veröffentlicht: |
Berlin, Heidelberg
Springer Berlin Heidelberg
1997
|
| Schriftenreihe: | Applications of Mathematics, Stochastic Modelling and Applied Probability
36 |
| Schlagwörter: | |
| Links: | https://doi.org/10.1007/978-3-662-22132-7 |
| Beschreibung: | The origin of this book can be traced to courses on financial mathematics taught by us at the University of New South Wales in Sydney, Warsaw University of Technology (Politechnika Warszawska) and Institut National Polytechnique de Grenoble. Our initial aim was to write a short text around the material used in two one-semester graduate courses attended by students with diverse disciplinary backgrounds (mathematics, physics, computer science, engineering, economics and commerce). The anticipated diversity of potential readers explains the somewhat unusual way in which the book is written. It starts at a very elementary mathematical level and does not assume any prior knowledge of financial markets. Later, it develops into a text which requires some familiarity with concepts of stochastic calculus (the basic relevant notions and results are collected in the appendix). Over time, what was meant to be a short text acquired a life of its own and started to grow. The final version can be used as a textbook for three one-semester courses one at undergraduate level, the other two as graduate courses. The first part of the book deals with the more classical concepts and results of arbitrage pricing theory, developed over the last thirty years and currently widely applied in financial markets. The second part, devoted to interest rate modelling is more subjective and thus less standard. A concise survey of short-term interest rate models is presented. However, the special emphasis is put on recently developed models built upon market interest rates |
| Umfang: | 1 Online-Ressource (XII, 513 p) |
| ISBN: | 9783662221327 9783662221341 |
| ISSN: | 0172-4568 |
| DOI: | 10.1007/978-3-662-22132-7 |
Internformat
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| discipline | Mathematik |
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| format | Electronic eBook |
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| id | DE-604.BV042423507 |
| illustrated | Not Illustrated |
| indexdate | 2024-12-20T17:10:48Z |
| institution | BVB |
| isbn | 9783662221327 9783662221341 |
| issn | 0172-4568 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-027858924 |
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| publishDate | 1997 |
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| series | Applications of Mathematics, Stochastic Modelling and Applied Probability |
| series2 | Applications of Mathematics, Stochastic Modelling and Applied Probability |
| spellingShingle | Musiela, Marek Martingale Methods in Financial Modelling Applications of Mathematics, Stochastic Modelling and Applied Probability Mathematics Finance Distribution (Probability theory) Economics / Statistics Quantitative Finance Probability Theory and Stochastic Processes Finance/Investment/Banking Statistics for Business/Economics/Mathematical Finance/Insurance Mathematik Statistik Wirtschaft Martingal (DE-588)4126466-6 gnd Modellierung (DE-588)4170297-9 gnd Finanzmathematik (DE-588)4017195-4 gnd Kapitalmarkttheorie (DE-588)4137411-3 gnd Optionspreistheorie (DE-588)4135346-8 gnd Martingaltheorie (DE-588)4168982-3 gnd |
| subject_GND | (DE-588)4126466-6 (DE-588)4170297-9 (DE-588)4017195-4 (DE-588)4137411-3 (DE-588)4135346-8 (DE-588)4168982-3 |
| title | Martingale Methods in Financial Modelling |
| title_auth | Martingale Methods in Financial Modelling |
| title_exact_search | Martingale Methods in Financial Modelling |
| title_full | Martingale Methods in Financial Modelling by Marek Musiela, Marek Rutkowski |
| title_fullStr | Martingale Methods in Financial Modelling by Marek Musiela, Marek Rutkowski |
| title_full_unstemmed | Martingale Methods in Financial Modelling by Marek Musiela, Marek Rutkowski |
| title_short | Martingale Methods in Financial Modelling |
| title_sort | martingale methods in financial modelling |
| topic | Mathematics Finance Distribution (Probability theory) Economics / Statistics Quantitative Finance Probability Theory and Stochastic Processes Finance/Investment/Banking Statistics for Business/Economics/Mathematical Finance/Insurance Mathematik Statistik Wirtschaft Martingal (DE-588)4126466-6 gnd Modellierung (DE-588)4170297-9 gnd Finanzmathematik (DE-588)4017195-4 gnd Kapitalmarkttheorie (DE-588)4137411-3 gnd Optionspreistheorie (DE-588)4135346-8 gnd Martingaltheorie (DE-588)4168982-3 gnd |
| topic_facet | Mathematics Finance Distribution (Probability theory) Economics / Statistics Quantitative Finance Probability Theory and Stochastic Processes Finance/Investment/Banking Statistics for Business/Economics/Mathematical Finance/Insurance Mathematik Statistik Wirtschaft Martingal Modellierung Finanzmathematik Kapitalmarkttheorie Optionspreistheorie Martingaltheorie |
| url | https://doi.org/10.1007/978-3-662-22132-7 |
| volume_link | (DE-604)BV000895226 |
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