Chapter 9. Modelling in Practice

  1. P. J. Hunt1 and
  2. J. E. Kennedy2

Published Online: 28 JAN 2005

DOI: 10.1002/0470863617.ch9

Financial Derivatives in Theory and Practice

Financial Derivatives in Theory and Practice

How to Cite

Hunt, P. J. and Kennedy, J. E. (2004) Modelling in Practice, in Financial Derivatives in Theory and Practice, John Wiley & Sons, Ltd, Chichester, UK. doi: 10.1002/0470863617.ch9

Author Information

  1. 1

    WestLB AG, London, UK

  2. 2

    University of Warwick, UK

Publication History

  1. Published Online: 28 JAN 2005
  2. Published Print: 26 MAY 2004

Book Series:

  1. Wiley Series in Probability and Statistics

Book Series Editors:

  1. Walter A. Shewhart and
  2. Samuel S. Wilks

ISBN Information

Print ISBN: 9780470863589

Online ISBN: 9780470863619

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Keywords:

  • modelling derivatives in practice;
  • modelling via infinitesimals;
  • limit cap valuation

Summary

This chapter contains sections titled:

  • Introduction

  • The Real World Is Not a Martingale Measure

  • Product-based Modelling

  • Local Versus Global Calibration