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Martingale Methods in Financial Modelling

  • Marek Musiela
  • Marek Rutkowski

Part of the Applications of Mathematics book series (SMAP, volume 36)

Table of contents

  1. Front Matter
    Pages I-XII
  2. Spot and Futures Markets

    1. Front Matter
      Pages 1-1
    2. Marek Musiela, Marek Rutkowski
      Pages 3-32
    3. Marek Musiela, Marek Rutkowski
      Pages 33-68
    4. Marek Musiela, Marek Rutkowski
      Pages 69-86
    5. Marek Musiela, Marek Rutkowski
      Pages 87-108
    6. Marek Musiela, Marek Rutkowski
      Pages 109-134
    7. Marek Musiela, Marek Rutkowski
      Pages 135-158
    8. Marek Musiela, Marek Rutkowski
      Pages 159-182
    9. Marek Musiela, Marek Rutkowski
      Pages 183-204
    10. Marek Musiela, Marek Rutkowski
      Pages 205-228
    11. Marek Musiela, Marek Rutkowski
      Pages 229-261
  3. Fixed-income Markets

    1. Front Matter
      Pages 263-263
    2. Marek Musiela, Marek Rutkowski
      Pages 265-280
    3. Marek Musiela, Marek Rutkowski
      Pages 281-302
    4. Marek Musiela, Marek Rutkowski
      Pages 303-324
    5. Marek Musiela, Marek Rutkowski
      Pages 325-356
    6. Marek Musiela, Marek Rutkowski
      Pages 357-386
    7. Marek Musiela, Marek Rutkowski
      Pages 387-418
    8. Marek Musiela, Marek Rutkowski
      Pages 419-452
  4. Back Matter
    Pages 453-513

About this book

Introduction

The origin of this book can be traced to courses on financial mathemat­ ics 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 sci­ ence, 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 as­ sume 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.

Keywords

Arbitrage Black-Scholes Finance Martingal Martingale Stochastic calculus derivatives financial modelling futures mathematical finance modeling option pricing swaps valuation volatility

Authors and affiliations

  • Marek Musiela
    • 1
  • Marek Rutkowski
    • 2
  1. 1.School of MathematicsUniversity of New South WalesSydneyAustralia
  2. 2.Institute of MathematicsPolitechnika WarszawskaWarszawaPoland

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-662-22132-7
  • Copyright Information Springer-Verlag Berlin Heidelberg 1997
  • Publisher Name Springer, Berlin, Heidelberg
  • eBook Packages Springer Book Archive
  • Print ISBN 978-3-662-22134-1
  • Online ISBN 978-3-662-22132-7
  • Series Print ISSN 0172-4568
  • Buy this book on publisher's site