RISK NEUTRAL VALUATION PRICING AND HEDGING OF FINANCIAL DERIVATIVES BINGHAM N. Księgarnia

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.

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.
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

436 pages

Księgarnia nie działa. Nie odpowiadamy na pytania i nie realizujemy zamówien. Do odwolania !.