Ebook: Martingale Methods in Financial Modelling

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Content:
Front Matter....Pages I-XII
Front Matter....Pages 1-1
An Introduction to Financial Derivatives....Pages 3-32
The Cox-Ross-Rubinstein Model....Pages 33-68
Finite Security Markets....Pages 69-86
Market Imperfections....Pages 87-108
The Black-Scholes Model....Pages 109-134
Modifications of the Black-Scholes Model....Pages 135-158
Foreign Market Derivatives....Pages 159-182
American Options....Pages 183-204
Exotic Options....Pages 205-228
Continuous-time Security Markets....Pages 229-261
Front Matter....Pages 263-263
Interest Rates and Related Contracts....Pages 265-280
Models of the Short-term Rate....Pages 281-302
Models of Instantaneous Forward Rates....Pages 303-324
Models of Bond Prices and LIBOR Rates....Pages 325-356
Option Valuation in Gaussian Models....Pages 357-386
Swap Derivatives....Pages 387-418
Cross-currency Derivatives....Pages 419-452
Back Matter....Pages 453-513

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Content:
Front Matter....Pages I-XII
Front Matter....Pages 1-1
An Introduction to Financial Derivatives....Pages 3-32
The Cox-Ross-Rubinstein Model....Pages 33-68
Finite Security Markets....Pages 69-86
Market Imperfections....Pages 87-108
The Black-Scholes Model....Pages 109-134
Modifications of the Black-Scholes Model....Pages 135-158
Foreign Market Derivatives....Pages 159-182
American Options....Pages 183-204
Exotic Options....Pages 205-228
Continuous-time Security Markets....Pages 229-261
Front Matter....Pages 263-263
Interest Rates and Related Contracts....Pages 265-280
Models of the Short-term Rate....Pages 281-302
Models of Instantaneous Forward Rates....Pages 303-324
Models of Bond Prices and LIBOR Rates....Pages 325-356
Option Valuation in Gaussian Models....Pages 357-386
Swap Derivatives....Pages 387-418
Cross-currency Derivatives....Pages 419-452
Back Matter....Pages 453-513
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