Risk-Neutral Valuation
Pricing and Hedging of Financial Derivatives
Published on 12. April 2000
Book
Hardback
XIV, 296 pages
978-1-85233-001-9 (ISBN)
Description
With a simple approach accessible to a wide audience, this book aims for the heart of mathematical finance: the fundamental formula of arbitrage pricing theory. This method of pricing discounts everything and takes expected values under the equivalent martingale measure. The authors approach is simple and excludes unnecessary proofs of measure-theoretic probability, instead, it favors techniques and examples of proven interest to financial practitioners.
More details
Series
Edition
1st ed. 1998. Corr. 2nd printing
Language
English
Place of publication
London
United Kingdom
Target group
College/higher education
Professional and scholarly
Illustrations
1
1 s/w Abbildung
4 figures
Dimensions
Height: 240 mm
Weight
600 gr
ISBN-13
978-1-85233-001-9 (9781852330019)
DOI
10.1007/978-1-4471-3619-4
Schweitzer Classification
Other editions
New editions
Nicholas H. Bingham | Rüdiger Kiesel
Risk-Neutral Valuation
Pricing and Hedging of Financial Derivatives
Book
06/2004
2nd Edition
Springer
€96.29
Shipment within 15-20 days
Content
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.- A. Hilbert Space.- B. Projections and Conditional Expectations.- C. The Separating Hyperplane Theorem.