ENGLISH

Risk-Neutral Valuation: Pricing and Hedging of Financial Derivatives

By Nicholas H. Bingham ScD , Rüdiger Kiesel PhD (auth.)

Book information

Publisher
Springer-Verlag London
Year
2004
ISBN
978-1-84996-873-7, 978-1-4471-3856-3
DOI
10.1007/978-1-4471-3856-3
Language
english
Format
PDF
Filesize
14 MB (14159704 bytes)
Series
Springer Finance
Edition
2
Pages
438\447
Orientation
yes
Scanned
yes
Time added
2013-08-01 04:00:00
Quantitative Finance; Finance/Investment/Banking

Description

Since its introduction in the early 1980s, the risk-neutral valuation principle has proved to be an important tool in the pricing and hedging of financial derivatives. Following the success of the first edition of ‘Risk-Neutral Valuation’, the authors have thoroughly revised the entire book, taking into account recent developments in the field, and changes in their own thinking and teaching. In particular, the chapters on Incomplete Markets and Interest Rate Theory have been updated and extended, there is a new chapter on the important and growing area of Credit Risk and, in recognition of the increasing popularity of Lévy finance, there is considerable new material on: · Infinite divisibility and Lévy processes · Lévy-based models in incomplete markets Further material such as exercises, solutions to exercises and lecture slides are also available via the web to provide additional support for lecturers.

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