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Risk-Neutral Valuation:
Pricing and Hedging of Financial Derivatives, 2nd Ed.

by Nicholas H. Bingham, Rüdiger Kiesel

ISBN 1852334584 / 9781852334581 / 1-85233-458-4
Publisher Springer
Language English
Edition Hardcover
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Book summary

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.