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Risk-neutral valuation pricing and hedging of financial derivatives

Bingham, N. H.

9781852334581 - Risk-neutral valuation pricing and hedging of financial derivatives
2e hands

Artikelomschrijving

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.

Specificaties

Auteur Bingham, N. H.
ISBN/EAN 9781852334581
Druk 2
€ 90,18 € 100,20
Verwachte bezorgdatum: 01-09

Artikelomschrijving

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.

Specificaties

Auteur Bingham, N. H.
ISBN/EAN 9781852334581
Druk 2