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Risk-neutral valuation : pricing and hedging of financial derivatives /

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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...

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Bibliographic Details
Main Authors: Bingham, N. H. (Author), Kiesel, Rüdiger, 1962- (Author)
Corporate Author: SpringerLink (Online service)
Format: eBook
Language:English
Published: London : Springer, [2004]
Edition:Second Edition.
Series:Springer finance.
Subjects:
Investments > Mathematical models.
Finance > Mathematical models.
Estatística aplicada (economia;administração)
Econometria.
Portfolio-theorie.
Bedrijfsfinanciering.
Wiskundige modellen.
Stochastische processen.
Derivaten (financiën)
Risicotheorie.
Investissements > Modèles mathématiques.
Finances > Modèles mathématiques.
Mathématiques financières.
Processus stochastiques.
Gestion du risque > Modèles mathématiques.
Electronic books.
Online Access:Connect to the full text of this electronic book
Table of Contents:
  • 1. Derivative background
  • 2. Probability background
  • 3. Stochastic processes in discrete time
  • 4. Mathematical finance in discrete time
  • 5. Stochastic processes in continuous time
  • 6. Mathematical finance in continuous time
  • 7. Incomplete markets
  • 8. Interest rate theory
  • 9. Credit risk
  • A. Hilbert space
  • B. Projections and conditional expectations
  • C. The separating hyperplane theorem.