Risk-Neutral Valuation Pricing and Hedging of Financial Derivatives |
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Author:
| Bingham, Nicholas Kiesel, Rüdiger Bingham, N. H. Kiesel, Rüdiger |
Series title: | Springer Finance Ser. |
ISBN: | 978-1-85233-458-1 |
Publication Date: | Jun 2004 |
Publisher: | Springer London, Limited
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Imprint: | Springer |
Book Format: | Hardback |
List Price: | USD $99.99 |
Book Description:
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Since its introduction in the early 80's, the risk-neutral valuation principle has proved to be an important tool in the pricing and hedging of financial derivatives. This second edition - completely up to date with new exercises - provides a comprehensive and self-contained treatment of the probabilistic theory behind the risk-neutral valuation principle and its application to the pricing and hedging of financial derivatives. On the probabilistic side, both discrete- and...
More DescriptionSince its introduction in the early 80's, the risk-neutral valuation principle has proved to be an important tool in the pricing and hedging of financial derivatives. This second edition - completely up to date with new exercises - provides a comprehensive and self-contained treatment of the probabilistic theory behind the risk-neutral valuation principle and its application to the pricing and hedging of financial derivatives. On the probabilistic side, both discrete- and continuous-time stochastic processes are treated, with special emphasis on martingale theory, stochastic integration and change-of-measure techniques. Based on firm probabilistic foundations, general properties of discrete- and continuous-time financial market models are discussed.