Risk-Neutral Valuation
Author | : Nicholas H. Bingham |
Publisher | : Springer Science & Business Media |
Total Pages | : 447 |
Release | : 2013-06-29 |
ISBN-10 | : 9781447138563 |
ISBN-13 | : 1447138562 |
Rating | : 4/5 (63 Downloads) |
Download or read book Risk-Neutral Valuation written by Nicholas H. Bingham and published by Springer Science & Business Media. This book was released on 2013-06-29 with total page 447 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.