Risk-Neutral Valuation: Pricing and Hedging of Financial Derivatives
Bingham N.H., Kiesel R.
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.
Categories:
Year:
2004
Edition:
2nd
Publisher:
Springer Verlag
Language:
english
Pages:
455
ISBN 10:
1852334584
ISBN 13:
9781852334581
File:
DJVU, 3.76 MB
IPFS:
,
english, 2004
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