Titlebook: Martingale Methods in Financial Modelling; Marek Musiela,Marek Rutkowski Book 19971st edition Springer-Verlag Berlin Heidelberg 1997 Arbit

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Marek Musiela,Marek RutkowskiLeuphana Universit?t Lüneburg und promovierte dort bei Prof. Dr. Dominik Leiss. Ihre Forschungsschwerpunkte liegen in der Emotionsentstehung bezüglich der Mathematik und der Mathematikdidaktik generell. Derzeit befindet sie sich in einer Weiterbildung zur Erlebnisp?dagogin..978-3-658-24626-6978-3-658-24627-3

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An Introduction to Financial Derivatives instance, to Cox and Rubinstein (1985), Ritchken (1987), Chance (1989), Duffie (1989), Merrick (1990), Kolb (1991), Dubofsky (1992), Edwards and Ma (1992), Sutcliffe (1993), Hull (1994, 1996) or Redhead (1996).

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Finite Security Marketsultinomial models). The main motivation comes rather from the fact that the most important ideas and results of arbitrage pricing can be presented in a more transparent way by working first in a finite-dimensional framework.

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Option Valuation in Gaussian Modelsption on a specific asset is examined in order to obtain an explicit expression for its arbitrage price, it is in fact enough to assume that the volatility of the forward price of the underlying asset for the settlement date coinciding with the option’s maturity date is deterministic.

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Swap Derivatives explicit valuation solutions for some of these instruments within the Gaussian HJM framework and in the case of lognormal models of forward LIBOR and swap rates. The last section deals with an alternative model of the term structure, proposed by Flesaker and Hughston (1996a).