In the 2nd edition some sections of Part I are omitted for better readability, and a brand new chapter is 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. The theme of stochastic volatility also reappears systematically in the second part of the book, which has been revised fundamentally, presenting much more detailed analyses of the various interest-rate models available: the authors' perspective throughout is that the choice of a model should be based on the reality of how a particular sector of the financial market functions, never neglecting to examine liquid primary and derivative assets and identifying the sources of trading risk associated. This long-awaited new edition, concentrating on the most pertinent and widely accepted modelling approaches, provides the reader witha text focused on practical rather than theoretical aspects of financial modelling Has sold over 8000 copies since release in 1997 Bridges the mathematicaltheory and industry practice of option pricing at the ideal level for both audiences Brand new chapter on volatility risk INDICE: An Introduction to Financial Derivatives.- The Cox-Ross-RubinsteinModel.- Finite Security Markets.- The Black-Scholes Model.- Foreign Market Derivatives.- Americal Options.- Exotic Options.- Continuous-time Security Markets.- Interest Rates and Related Contracts.- Models of the Short-term Rate.- Models of Instantaneous Forward Rates.- Models of Bond Prices and LIBOR Rates.- Option Valuation in Gaussian Models.- Swap Derivatives.- Cross-currency Derivatives. Appendices: Conditional Expectations, Itô Stochastic Calculus.
- ISBN: 978-3-540-20966-9
- Editorial: Springer
- Encuadernacion: Cartoné
- Páginas: 682
- Fecha Publicación: 01/09/2008
- Nº Volúmenes: 1
- Idioma: Inglés