Risk-neutral valuation

Pricing and hedging of financial derivatives

N.H. Bingham, Rüdiger Kiesel - Collection Springer Finance

438 pages, parution le 23/06/2004 (2^eme édition)

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Résumé

Since its introduction in the early 1980s, the risk-neutral valuation principle has proved to be an important tool in the pricing and hedging of financial derivatives.

Following the success of the first edition of Risk-Neutral Valuation, the authors have thoroughly revised the entire book, taking into account recent developments in the field, and changes in their own thinking and teaching.

In particular, the chapters on Incomplete Markets and Interest Rate Theory have been updated and extended, there is a new chapter on the important and growing area of Credit Risk and, in recognition of the increasing popularity of Levy finance, there is considerable new material on:

Infinite divisibility and Levy processes
Levy-based models in incomplete markets

Throughout, arbitrage-based arguments and risk-neutral valuation remain the basic theme, and the book retains the comprehensive and self-contained character of the first edition, so appealing to graduate students and practitioners in mathematical finance, arbitrage pricing and measure theory.

Sommaire

Derivative Background
Probability Background
Stochastic processes in discrete time
Mathematical finance in discrete time
Stochastic processes in continuous time
Mathematical finance in continuous time
Incomplete markets
Interest rate theory
Credit risk

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Caractéristiques techniques

	PAPIER
Éditeur(s)	Springer
Auteur(s)	N.H. Bingham, Rüdiger Kiesel
Collection	Springer Finance
Parution	23/06/2004
Édition	2^eme édition
Nb. de pages	438
Format	16 x 24
Couverture	Relié
Poids	781g
Intérieur	Noir et Blanc
EAN13	9781852334581