Buch, Englisch, 438 Seiten, Previously published in hardcover, Format (B × H): 155 mm x 235 mm, Gewicht: 686 g
Reihe: Springer Finance
Pricing and Hedging of Financial Derivatives
Buch, Englisch, 438 Seiten, Previously published in hardcover, Format (B × H): 155 mm x 235 mm, Gewicht: 686 g
Reihe: Springer Finance
ISBN: 978-1-84996-873-7
Verlag: Springer
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.
Zielgruppe
Professional/practitioner
Autoren/Hrsg.
Fachgebiete
- Mathematik | Informatik Mathematik Numerik und Wissenschaftliches Rechnen Angewandte Mathematik, Mathematische Modelle
- Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Bankwirtschaft
- Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Unternehmensfinanzierung
- Mathematik | Informatik Mathematik Numerik und Wissenschaftliches Rechnen Computeranwendungen in der Mathematik
- Wirtschaftswissenschaften Betriebswirtschaft Unternehmensfinanzen Finanzierung, Investition, Leasing
- Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Finanzsektor & Finanzdienstleistungen: Allgemeines
Weitere Infos & Material
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.
