Risk-Neutral Valuation: Pricing and Hedging of Financial Derivatives
Nicholas H. Bingham, Rüdiger Kiesel
ISBN: | 9781852334581 |
Publisher: | Springer |
Published: | 16 June, 2004 |
Format: | Hardcover |
Language: | English |
Links | Australian Libraries (Trove) |
Risk-Neutral Valuation: Pricing and Hedging of Financial Derivatives
Nicholas H. Bingham, Rüdiger Kiesel
This text presents a comprehensive, self-contained treatment of the probabilistic theory behind the risk-neutral valuation principle and its application to the pricing and hedging of financial derivatives. Both discrete- and continuous-time stochastic processes are treated, with special emphasis on martingale theory, stochastic integration and change-of-measure techniques. This edition has been heavily updated with new material and exercises.
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