Musiela Marek: Martingale Methods in Financial Modelling
Скачать книгу (размер 3 237 Kb , формат fb2, страниц 636) Аннотация: 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…