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Risk-Neutral Valuation

Pricing and Hedging of Financial Derivatives

  • Nicholas H. Bingham
  • Rüdiger Kiesel

Part of the Springer Finance book series (FINANCE)

Table of contents

  1. Front Matter
    Pages i-xviii
  2. Nicholas H. Bingham, Rüdiger Kiesel
    Pages 1-27
  3. Nicholas H. Bingham, Rüdiger Kiesel
    Pages 29-73
  4. Nicholas H. Bingham, Rüdiger Kiesel
    Pages 75-99
  5. Nicholas H. Bingham, Rüdiger Kiesel
    Pages 101-151
  6. Nicholas H. Bingham, Rüdiger Kiesel
    Pages 153-228
  7. Nicholas H. Bingham, Rüdiger Kiesel
    Pages 229-288
  8. Nicholas H. Bingham, Rüdiger Kiesel
    Pages 289-326
  9. Nicholas H. Bingham, Rüdiger Kiesel
    Pages 327-374
  10. Nicholas H. Bingham, Rüdiger Kiesel
    Pages 375-408
  11. Back Matter
    Pages 409-437

About this book

Introduction

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. 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 Lévy finance, there is considerable new material on: · Infinite divisibility and Lévy processes · Lévy-based models in incomplete markets Further material such as exercises, solutions to exercises and lecture slides are also available via the web to provide additional support for lecturers.

Keywords

Adopted Textbook Approximation Arbitrage Change Finance Hedging Markov Chain Markov Chains Stochastic Differential Equations Stochastic Processes Stochastic calculus Stochastic model

Authors and affiliations

  • Nicholas H. Bingham
    • 1
    • 2
  • Rüdiger Kiesel
    • 3
    • 4
  1. 1.Department of Probability and StatisticsUniversity of SheffieldSheffieldUK
  2. 2.Department of Mathematical SciencesBrunel UniversityUxbridge MiddlesexUK
  3. 3.Department of Financial MathematicsUniversity of UlmUlmGermany
  4. 4.Department of StatisticsLondon School of EconomicsLondonUK

Bibliographic information

  • DOI https://doi.org/10.1007/978-1-4471-3856-3
  • Copyright Information Springer-Verlag London 2004
  • Publisher Name Springer, London
  • eBook Packages Springer Book Archive
  • Print ISBN 978-1-84996-873-7
  • Online ISBN 978-1-4471-3856-3
  • Series Print ISSN 1616-0533
  • Series Online ISSN 2195-0687
  • Buy this book on publisher's site
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