Risk Neutral Valuation
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Risk-Neutral Valuation
Author | : Nicholas H. Bingham |
Publisher | : Springer Science & Business Media |
Total Pages | : 447 |
Release | : 2013-06-29 |
Genre | : Mathematics |
ISBN | : 1447138562 |
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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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