Martingale Methods in Financial Modelling

Know about the book -

Martingale Methods in Financial Modelling is written by Marek Musiela and published by Springer. It's available with International Standard Book Number or ISBN identification 3662221330 (ISBN 10) and 9783662221334 (ISBN 13).

A comprehensive and self-contained treatment of the theory and practice of option pricing. The role of martingale methods in financial modeling is exposed. The emphasis is on using arbitrage-free models already accepted by the market as well as on building the new ones. Standard calls and puts together with numerous examples of exotic options such as barriers and quantos, for example on stocks, indices, currencies and interest rates are analysed. The importance of choosing a convenient numeraire in price calculations is explained. Mathematical and financial language is used so as to bring mathematicians closer to practical problems of finance and presenting to the industry useful maths tools.