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Risk-Neutral Valuation: Pricing and Hedging of Financial Derivatives, Second Edition

Name: Risk-Neutral Valuation: Pricing and Hedging of Financial Derivatives, Second Edition
ISBN: 9781849968737

Nicholas H. Bingham, Rüdiger Kiesel

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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.

种类:

Mathematics

年:

2004

出版:

2nd

出版社:

Springer

语言:

english

页:

456