MARC状态：审校 文献类型：中文图书 浏览次数：17
- 题名/责任者:
- Martingale methods in financial modelling/Marek Musiela, Marek Rutkowski
- 版本说明:
- 影印版
- 出版发行项:
- 北京:世界图书出版公司北京公司,2013.10
- ISBN及定价:
- 978-7-5100-6139-4/CNY129.00
- 载体形态项:
- xix, 715页;23cm
- 并列正题名:
- 金融模型中的鞅方法
- 丛编项:
- 数学与金融经典:影印版
- 个人责任者:
- 慕斯勒 (Musiela, Marek) 著
- 个人责任者:
- 卢特考斯基 (Rutkowski, Marek) 著
- 学科主题:
- 金融学-鞅-数学模型-研究-英文
- 中图法分类号:
- F830
- 中图法分类号:
- O211.6
- 中图法分类号:
- F830
- 相关题名附注:
- 中文并列题名取自于封面
- 责任者附注:
- 责任者Musiela规范汉译姓: 慕斯勒 ; 责任者Rutkowski规范汉译姓: 卢特考斯基
- 书目附注:
- 有书目 (第657-705页) 和索引
- 原作版本附注:
- 影印自: 原书第2版
- 提要文摘附注:
- Let us stress that we have only taken out few sections that， in our opinion， were of marginal importance for the understanding of the fundamental principles of financial modelling of arbitrage valuation of derivatives. In view of the abundance of new results in the area， it would be in any case unimaginable to cover all existing approaches to pricing and hedging financial derivatives （not to mention allimportantresults） in a single book， no matter how voluminous it were. Hence， several intensively studied areas， such as: mean-variance hedging， utility-based pricing， entropybased approach， financial models with frictions （e.g.， short-selling constraints， bidask spreads， transaction costs， etc.） either remain unmentioned in this text， or are presented very succinctly. Although the issue of market incompleteness is not totally neglected，it is examined primarily in the framework of models of stochastic （oruncertain） volatility. Luckily enough， the afore-mentioned approaches and results are covered exhaustively in several excellent monographs written in recent years by our distinguished colleagues， and thus it is our pleasure to be able to refer the interested reader to these texts.
- 使用对象附注:
- 数学专业人员。
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