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

Po otrzymaniu zamówienia poinformujemy,
czy wybrany tytuł polskojęzyczny lub anglojęzyczny jest aktualnie na półce księgarni.