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Details about  Risk-Neutral Valuation By N. H. Bingham - NEW

Risk-Neutral Valuation By N. H. Bingham - NEW

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Item specifics

Condition:
Brand new: A new, unread, unused book in perfect condition with no missing or damaged pages. See the seller's ... Read moreabout the condition
Publisher:

Springer London Ltd

Publication Year:

20100000

ISBN-10:

184996873X

Language:

English

ISBN-13:

9781849968737

Format:

Paperback

ISBN:

9781849968737

Detailed item info

Description
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.

Key Features
Author(s)N. H. Bingham, Rudiger Kiesel
PublisherSpringer London Ltd
Date of Publication21/10/2010
LanguageEnglish
FormatPaperback
ISBN-10184996873X
ISBN-139781849968737
SubjectManagement Techniques: Professional
Series TitleSpringer Finance / Springer Finance Textbooks

Publication Data
Place of PublicationEngland
Country of PublicationUnited Kingdom
ImprintSpringer London Ltd
Content Noteblack & white illustrations

Dimensions
Weight635 g
Width156 mm
Height234 mm
Spine23 mm

Editorial Details
Format DetailsTrade paperback (US)
Edition StatementSoftcover reprint of the original 2nd ed. 2004

Description
Table Of ContentsContents Preface to the Second Edition Preface to the First Edition 1. Derivative Background 1.1 Financial Markets and Instruments 1.1.1 Derivative Instruments 1.1.2 Underlying Securities 1.1.3 Markets 1.1.4 Types of Traders 1.1.5 Modeling Assumptions 1.2 Arbitrage 1.3 Arbitrage Relationships 1.3.1 Fundamental Determinants of Option Values 1.3.2 Arbitrage Bounds 1.4 Single-period Market Models 1.4.1 A Fundamental Example 1.4.2 A Single-period Model 1.4.3 A Few Financial-economic Considerations Exercises 2. Probability Background 2.1 Measure 2.2 Integral 2.3 Probability 2.4 Equivalent Measures and Radon-Nikodym Derivatives 2.5 Conditional Expectation 2.6 Modes of Convergence 2.7 Convolution and Characteristic Functions 2.8 The Central Limit Theorem 2.9 Asset Return Distributions 2.10 In.nite Divisibility and the L'evy-Khintchine Formula 2.11 Elliptically Contoured Distributions 2.12 Hyberbolic Distributions Exercises 3. Stochastic Processes in Discrete Time 3.1 Information and Filtrations 3.2 Discrete-parameter Stochastic Processes 3.3 De.nition and Basic Properties of Martingales 3.4 Martingale Transforms 3.5 Stopping Times and Optional Stopping 3.6 The Snell Envelope and Optimal Stopping 3.7 Spaces of Martingales 3.8 Markov Chains Exercises 4. Mathematical Finance in Discrete Time 4.1 The Model 4.2 Existence of Equivalent Martingale Measures 4.2.1 The No-arbitrage Condition 4.2.2 Risk-Neutral Pricing 4.3 Complete Markets: Uniqueness of EMMs 4.4 The Fundamental Theorem of Asset Pricing: Risk-Neutral Valuation 4.5 The Cox-Ross-Rubinstein Model 4.5.1 Model Structure 4.5.2 Risk-neutral Pricing 4.5.3 Hedging 4.6 Binomial Approximations 4.6.1 Model Structure 4.6.2 The Black-Scholes Option Pricing Formula 4.6.3 Further Limiting Models 4.7 American Options 4.7.1 Theory 4.7.2 American Options in the CRR Model 4.8 Further Contingent Claim Valuation in Discrete Time 4.8.1 Barrier Options 4.8.2 Lookback Options 4.8.3 A Three-period Example 4.9 Multifactor Models 4.9.1 Extended Binomial Model 4.9.2 Multinomial Models Exercises 5. Stochastic Processes in Continuous Time 5.1 Filtrations; Finite-dimensional Distributions 5.2 Classes of Processes 5.2.1 Martingales 5.2.2 Gaussian Processes 5.2.3 Markov Processes 5.2.4 Diffusions 5.3 Brownian Motion 5.3.1 Definition and Existence 5.3.2 Quadratic Variation of Brownian Motion 5.3.3 Properties of Brownian Motion 5.3.4 Brownian Motion in Stochastic Modeling 5.4 Point Processes 5.4.1 Exponential Distribution 5.4.2 The Poisson Process 5.4.3 Compound Poisson Processes 5.4.4 Renewal Processes 5.5 Levy Processes 5.5.1 Distributions 5.5.2 Levy Processes 5.5.3 Levy Processes and the Levy-Khintchine Formula 5.6 Stochastic Integrals; Ito Calculus 5.6.1 Stochastic Integration 5.6.2 Ito's Lemma 5.6.3 Geometric Brownian Motion 5.7 Stochastic Calculus for Black-Scholes Models 5.8 Stochastic Differential Equations 5.9 Likelihood Estimation for Diffusions 5.10 Martingales, Local Martingales and Semi-martingales 5.10.1 Definitions 5.10.2 Semi-martingale Calculus 5.10.3 Stochastic Exponentials 5.10.4 Semi-martingale Characteristics 5.11 Weak Convergence of Stochastic Processes 5.11.1 The Spaces Cd and Dd 5.11.2 Definition and Motivation 5.11.3 Basic Theorems of Weak Convergence 5.11.4 Weak Convergence Results for Stochastic Integrals Exercises 6. Mathematical Finance in Continuous Time 6.1 Continuous-time Financial Market Models 6.1.1 The Financial Market Model 6.1.2 Equivalent Martingale Measures 6.1.3 Risk-neutral Pricing 6.1.4 Changes of Numeraire

NEW Risk-Neutral Valuation By N. H. Bingham Paperback Free Shipping

Risk-Neutral Valuation by N. H. Bingham

Now : $221.95
ISBN: 9781849968737

Product Description

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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Product Details
  • ISBN-9781849968737
  • Format-Paperback
  • Title-Risk-Neutral Valuation

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