This book presents the mathematics that underpins pricing models for derivative securities in modern financial markets, such as options, futures and swaps. This new edition adds substantial material from current areas of active research, such as coherent risk measures with applications to hedging, the arbitrage interval for incomplete discrete-time markets, and risk and return and sensitivity analysis for the Black-Scholes model.
- ISBN13 9780387212920
- Publish Date 8 October 2004 (first published 1 December 1998)
- Publish Status Active
- Publish Country US
- Imprint Springer-Verlag New York Inc.
- Edition 2nd ed. 2005
- Format Hardcover
- Pages 354
- Language English