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Home > Financial Information Sources > Financial Modeling > Martingale Methods in Financial Modelling

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Martingale Methods in Financial Modelling

Marek Musiela, Marek Rutkowski
2nd Edition
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.

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