ENGLISH

Risk-Neutral Valuation: Pricing and Hedging of Financial Derivatives

By Kiesel R. , Bingham N.H.

Book information

Publisher
Springer Verlag
Year
2004
ISBN
1-85233-458-4
Open Library ID
OL8974208M
Language
english
Format
DJVU
Filesize
4 MB (3947543 bytes)
Edition
2nd
Pages
455\456
DPI
600
Time added
2012-02-15 23:44:28

Description

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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