Risk-Neutral Valuation: Pricing and Hedging of Financial Derivatives - Softcover

Nicholas H. Bingham

Softcover

ISBN 10: 1447138570 ISBN 13: 9781447138570

Publisher: Springer

Synopsis

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 shastic processes are treated, with special emphasis on martingale theory, shastic integration and change-of-measure techniques. Based on firm probabilistic foundations, general properties of discrete- and continuous-time financial market models are discussed.

Edition details

• Publisher: Springer
• Language: English
• ISBN 10: 1447138570
• ISBN 13: 9781447138570
• Binding: Paperback
• Number of pages: 456