Book Details
Format
Paperback / Softback
Book Series
Stochastic Modelling and Applied Probability
ISBN-10
3642058981
ISBN-13
9783642058981
Edition
2nd ed. 2005
Publisher
Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
Imprint
Springer-Verlag Berlin and Heidelberg GmbH & Co. K
Country of Manufacture
DE
Country of Publication
GB
Publication Date
Oct 19th, 2010
Print length
720 Pages
Weight
1,052 grams
Dimensions
23.30 x 15.70 x 4.10 cms
Product Classification:
Probability & statisticsProbability and statisticsApplied mathematicsStochastics
Ksh 19,800.00
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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.
Spot and Futures Markets.- An Introduction to Financial Derivatives.- Discrete-time Security Markets.- Benchmark Models in Continuous Time.- Foreign Market Derivatives.- American Options.- Exotic Options.- Volatility Risk.- Continuous-time Security Markets.- Fixed-income Markets.- Interest Rates and Related Contracts.- Short-Term Rate Models.- Models of Instantaneous Forward Rates.- Market LIBOR Models.- Alternative Market Models.- Cross-currency Derivatives.
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