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Martingale Methods in Financial Modelling

About Martingale Methods in Financial Modelling

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.

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  • Language:
  • English
  • ISBN:
  • 9783642058981
  • Binding:
  • Paperback
  • Pages:
  • 720
  • Published:
  • October 18, 2010
  • Edition:
  • 22005
  • Dimensions:
  • 157x233x41 mm.
  • Weight:
  • 1052 g.
Delivery: 1-2 weeks
Expected delivery: January 4, 2025
Extended return policy to January 30, 2025
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Description of Martingale Methods in Financial Modelling

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.

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