Nicholas H. Bingham, Rüdiger Kiesel

Risk-Neutral Valuation (eBook, PDF)

Pricing and Hedging of Financial Derivatives

• Format: PDF

Produktbeschreibung

In this second edition of their popular text, the authors take into account recent developments in the field, and changes in their own thinking and teaching. 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.

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Produktdetails

• Verlag: Springer London
• Seitenzahl: 438
• Erscheinungstermin: 29. Juni 2013
• Englisch
• ISBN-13: 9781447138563
• Artikelnr.: 44044471

Autorenporträt

Nicholas H. Bingham, Brunel University, Uxbridge, UK / Rüdiger Kiesel, University of Ulm, Germany

Inhaltsangabe

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.

Rezensionen

Authors of financial engineering texts face a quandary: how technical to make a book? It is easy to alienate readers by being too technical, but it is just as easy to write a fluff book that communicates nothing of substance. With this book, authors Bingham and Kiesel have got the balance just right... It is mathematically rigorous but with a practical, reader-oriented focus. Results are expressed formally as mathematical theorems, but the authors skip most proofs. The narrative moves along at a nice clip so you never get bogged down in minutia... Who is the book for? Almost anyone who has a strong background in maths and wants a command of financial engineering theory. www.riskbook.com