HOME > Detail View

Detail View

Risk-neutral valuation : pricing and hedging of financial derivatives 2nd ed

Risk-neutral valuation : pricing and hedging of financial derivatives 2nd ed (Loan 17 times)

Material type
단행본
Personal Author
Bingham, N. H. Kiesel, Rudiger , 1962-
Title Statement
Risk-neutral valuation : pricing and hedging of financial derivatives / N.H. Bingham and R. Kiesel.
판사항
2nd ed.
Publication, Distribution, etc
Sheffield, UK ;   New York :   Springer ,   c2004.  
Physical Medium
xviii, 437 p. ; 25 cm.
Series Statement
Springer finance
ISBN
1852334584 (hc : alk. paper) 9781852334581
Bibliography, Etc. Note
Includes bibliographical references (p. [417]-432) and index.
Subject Added Entry-Topical Term
Investments -- Mathematical models. Finance -- Mathematical models.
000 01011pamuu22002894a 4500
001 000045145059
005 20081106095825
008 050112s2004 enk b 001 0 eng
010 ▼a 2003067310
020 ▼a 1852334584 (hc : alk. paper)
020 ▼a 9781852334581
040 ▼a DLC ▼c DLC ▼d DLC ▼d 244002 ▼d 211009
042 ▼a pcc
050 0 0 ▼a HG4515.2 ▼b .B56 2004
082 0 0 ▼a 332.64/57 ▼2 22
090 ▼a 332.015118 ▼b B613r2
100 1 ▼a Bingham, N. H.
245 1 0 ▼a Risk-neutral valuation : ▼b pricing and hedging of financial derivatives / ▼c N.H. Bingham and R. Kiesel.
250 ▼a 2nd ed.
260 ▼a Sheffield, UK ; ▼a New York : ▼b Springer , ▼c c2004.
300 ▼a xviii, 437 p. ; ▼c 25 cm.
440 0 ▼a Springer finance
504 ▼a Includes bibliographical references (p. [417]-432) and index.
650 0 ▼a Investments ▼x Mathematical models.
650 0 ▼a Finance ▼x Mathematical models.
700 1 ▼a Kiesel, Rudiger , ▼d 1962-

No. Location Call Number Accession No. Availability Due Date Make a Reservation Service
No. 1 Location Science & Engineering Library/Sci-Info(Stacks2)/ Call Number 332.015118 B613r2 Accession No. 121178665 Availability Available Due Date Make a Reservation Service B M
No. 2 Location Sejong Academic Information Center/Social Science/ Call Number 332.015118 B613r2 Accession No. 151170598 Availability Available Due Date Make a Reservation Service
No. Location Call Number Accession No. Availability Due Date Make a Reservation Service
No. 1 Location Science & Engineering Library/Sci-Info(Stacks2)/ Call Number 332.015118 B613r2 Accession No. 121178665 Availability Available Due Date Make a Reservation Service B M
No. Location Call Number Accession No. Availability Due Date Make a Reservation Service
No. 1 Location Sejong Academic Information Center/Social Science/ Call Number 332.015118 B613r2 Accession No. 151170598 Availability Available Due Date Make a Reservation Service

Contents information

Table of Contents

Contents 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


Information Provided By: : Aladin

New Arrivals Books in Related Fields

Kostolany, André (2021)