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Risk-Neutral ValuationPricing and Hedging of Financial Derivatives

Series: Springer Finance

Bingham, Nicholas H., Kiesel, Rüdiger

2nd ed., 2004, XVIII, 437 p. 8 illus.


About this textbookReviews

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.


Content Level » Professional/practitioner
Keywords » Finance
Related subjects » Finance & Banking - Quantitative Finance