Risk-Neutral Valuation

Risk-Neutral Valuation

Nicholas H. Bingham / Rüdiger Kiesel

119,46 €
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Editorial:
Springer Nature B.V.
Año de edición:
2004
ISBN:
9781852334581

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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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