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Risk-Neutral Valuation. Pricing And Hedging Of Financial Derivitives

Risk-Neutral Valuation. Pricing And Hedging Of Financial Derivitives

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  • ISBN:9781852334581
  • Editorial: Springer
  • Fecha de la edición:
  • Número de la edición: 2
  • Encuadernación:
  • Dimensiones: 0 cm x 0 cm
  • Nº Pág.:450
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In this second edition, the authors have fully revised the entire book to include two new chapters and new fully-worked exercises. The first three chapters of this second edition are a fairly significant extension of material. In chapter two especially, there is an increase in pace and sophistication. In chapter five there is additional material on stochastic differential equations; properties of the Black-Scholes model are given more space in chapter six, while chapter seven includes some more recent aspects of modelling in incomplete markets - superreplication and quantile hedging are mentioned, as are sections on Levy process models and utility-based approaches. The final two chapters are completely new and reflect areas of current interest in the financial world - Credit Risk and Risk Management.

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