Risk-Neutral Valuation

Pricing and Hedging of Financial Derivatives
Buch | Hardcover
438 Seiten
2004 | 2nd ed. 2004
Springer London Ltd (Verlag)
978-1-85233-458-1 (ISBN)

Lese- und Medienproben

Risk-Neutral Valuation - Nicholas H. Bingham, Rüdiger Kiesel
96,29 inkl. MwSt
Provides a treatment of the probabilistic theory behind the risk-neutral valuation principle and its application to the pricing and hedging of financial derivatives. Based on firm probabilistic foundations, this title discusses general properties of discrete- and continuous-time financial market models.
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.

1. Derivative Background.- 2. Probability Background.- 3. Stochastic Processes in Discrete Time.- 4. Mathematical Finance in Discrete Time.- 5. Stochastic Processes in Continuous Time.- 6. Mathematical Finance in Continuous Time.- 7. Incomplete Markets.- 8. Interest Rate Theory.- 9. Credit Risk.- A. Hilbert Space.- B. Projections and Conditional Expectations.- C. The Separating Hyperplane Theorem.

Erscheint lt. Verlag 16.6.2004
Reihe/Serie Springer Finance
Springer Finance Textbooks
Zusatzinfo XVIII, 438 p.
Verlagsort England
Sprache englisch
Maße 155 x 235 mm
Themenwelt Mathematik / Informatik Mathematik Angewandte Mathematik
Naturwissenschaften Physik / Astronomie
Wirtschaft Allgemeines / Lexika
Wirtschaft Betriebswirtschaft / Management Finanzierung
Wirtschaft Betriebswirtschaft / Management Unternehmensführung / Management
ISBN-10 1-85233-458-4 / 1852334584
ISBN-13 978-1-85233-458-1 / 9781852334581
Zustand Neuware
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