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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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.
Imprint | Springer London |
Country of origin | United Kingdom |
Series | Springer Finance |
Release date | October 2010 |
Availability | Expected to ship within 10 - 15 working days |
First published | 2004 |
Authors | Nicholas H. Bingham, Rudiger Kiesel |
Dimensions | 235 x 155 x 24mm (L x W x T) |
Format | Paperback |
Pages | 438 |
Edition | Softcover reprint of the original 2nd ed. 2004 |
ISBN-13 | 978-1-84996-873-7 |
Barcode | 9781849968737 |
Categories | |
LSN | 1-84996-873-X |