Marek Musiela, Marek Rutkowski
Stochastic Modelling and Applied Probability Series
Berlin: Springer, 2007
680pp, ISBN: 978-3-540-20966-9
This detailed analysis of martingales in pricing and hedging derivative securities takes a practical approach to financial modeling, focusing on the most common techniques available. It presents the latest term structure research, and provides a through overview of advanced modern financial mathematics, particularly fixed income models and stochastic volatility.