Nicholas H. Bingham, Rüdiger Kiesel

Risk-Neutral Valuation (eBook, PDF)

Pricing and Hedging of Financial Derivatives

• Format: PDF

Produktbeschreibung

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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Produktdetails

• Verlag: Springer London
• Seitenzahl: 438
• Erscheinungstermin: 29. Juni 2013
• Englisch
• ISBN-13: 9781447138563
• Artikelnr.: 44044471

Autorenporträt

Nicholas H. Bingham, Brunel University, Uxbridge, UK / Rüdiger Kiesel, University of Ulm, Germany

Inhaltsangabe

1. Derivative Background.- 2. Probability Background.- 3. Stochastic Processes in Discrete Time.- 4. Mathematical Finance in Discrete Time.- 5. Stochastic Processes in Continuous Time.- 6. Mathematical Finance in Continuous Time.- 7. Incomplete Markets.- 8. Interest Rate Theory.- 9. Credit Risk.- A. Hilbert Space.- B. Projections and Conditional Expectations.- C. The Separating Hyperplane Theorem.

Rezensionen

Authors of financial engineering texts face a quandary: how technical to make a book? It is easy to alienate readers by being too technical, but it is just as easy to write a fluff book that communicates nothing of substance. With this book, authors Bingham and Kiesel have got the balance just right... It is mathematically rigorous but with a practical, reader-oriented focus. Results are expressed formally as mathematical theorems, but the authors skip most proofs. The narrative moves along at a nice clip so you never get bogged down in minutia... Who is the book for? Almost anyone who has a strong background in maths and wants a command of financial engineering theory. www.riskbook.com