Risk-Neutral Valuation

Released on by Nicholas H. Bingham
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  • Risk-Neutral Valuation Book Detail

  • Author : Nicholas H. Bingham
  • Release Date : 2013-06-29
  • Publisher : Springer Science & Business Media
  • Genre : Mathematics
  • Pages : 447
  • ISBN 13 : 1447138562
  • File Size : 94,94 MB
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Risk-Neutral Valuation by Nicholas H. Bingham PDF Summary

Book Description: 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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