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Risk-Neutral Valuation
Pricing and Hedging of Financial Derivatives
Udgivet af Springer London Ltd
ISBN
9781852334581
Om denne bog
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…
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Bogdetaljer
Forfatter
Rudiger Kiesel, Nicholas H. Bingham
Forlag
Springer London Ltd
Kategori
Ledelse og beslutningstagning
ISBN-13
9781852334581
EAN
9781852334581
Format
Indbundet
Sprog
Engelsk
sider
438
Undertitel
- Pricing and Hedging of Financial Derivatives
Produktbeskrivelse
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.
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