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Risk-Neutral Valuation: Pricing and Hedging of Financial Derivatives

Name: Risk-Neutral Valuation: Pricing and Hedging of Financial Derivatives
ISBN: 9781852334581

Bingham N.H., Kiesel R.

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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.

Կատեգորիաներ:

Business & Economics - Management & Leadership

Տարի:

2004

Հրատարակում:

2nd

Հրատարակչություն:

Springer Verlag

Լեզու:

english

Էջեր:

455