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Risk-Neutral Valuation

Pricing and Hedging of Financial Derivatives

  • Textbook
  • © 2004

Overview

Authors:
  1. Nicholas H. Bingham

    1. Department of Probability and Statistics, University of Sheffield, Sheffield, UK
      Department of Mathematical Sciences, Brunel University, Uxbridge Middlesex, UK

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    You can also search for this author in PubMed   Google Scholar

  2. Rüdiger Kiesel

    1. Department of Financial Mathematics, University of Ulm, Ulm, Germany
      Department of Statistics, London School of Economics, London, UK

    View author publications

    You can also search for this author in PubMed   Google Scholar

  • A thoroughly revised and updated edition of a popular text: it brings readers completely up-to-date with recent developments in the field
  • Includes a new chapter on the important topic of Credit Risk, and provides additional resources for lecturers via the web
  • Written with the practitioner in mind, it gets straight to the heart of the subject and shows how to put the theory into practice
  • Includes supplementary material: sn.pub/extras
  • Request lecturer material: sn.pub/lecturer-material

Part of the book series: Springer Finance (FINANCE)

Part of the book sub series: Springer Finance Textbooks (SFTEXT)

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Table of contents (9 chapters)

  1. Front Matter

    Pages i-xviii
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  2. Derivative Background

    • Nicholas H. Bingham, Rüdiger Kiesel
    Pages 1-27

  3. Probability Background

    • Nicholas H. Bingham, Rüdiger Kiesel
    Pages 29-73

  4. Stochastic Processes in Discrete Time

    • Nicholas H. Bingham, Rüdiger Kiesel
    Pages 75-99

  5. Mathematical Finance in Discrete Time

    • Nicholas H. Bingham, Rüdiger Kiesel
    Pages 101-151

  6. Stochastic Processes in Continuous Time

    • Nicholas H. Bingham, Rüdiger Kiesel
    Pages 153-228

  7. Mathematical Finance in Continuous Time

    • Nicholas H. Bingham, Rüdiger Kiesel
    Pages 229-288

  8. Incomplete Markets

    • Nicholas H. Bingham, Rüdiger Kiesel
    Pages 289-326

  9. Interest Rate Theory

    • Nicholas H. Bingham, Rüdiger Kiesel
    Pages 327-374

  10. Credit Risk

    • Nicholas H. Bingham, Rüdiger Kiesel
    Pages 375-408

  11. Back Matter

    Pages 409-437
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Keywords

About this book

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.

Reviews

Authors of financial engineering texts face a quandary: how technical to make a book? It is easy to alienate readers by being too technical, but it is just as easy to write a fluff book that communicates nothing of substance. With this book, authors Bingham and Kiesel have got the balance just right... It is mathematically rigorous but with a practical, reader-oriented focus. Results are expressed formally as mathematical theorems, but the authors skip most proofs. The narrative moves along at a nice clip so you never get bogged down in minutia... Who is the book for? Almost anyone who has a strong background in maths and wants a command of financial engineering theory. www.riskbook.com

Authors and Affiliations

  • Department of Probability and Statistics, University of Sheffield, Sheffield, UK

    Nicholas H. Bingham

  • Department of Mathematical Sciences, Brunel University, Uxbridge Middlesex, UK

    Nicholas H. Bingham

  • Department of Financial Mathematics, University of Ulm, Ulm, Germany

    Rüdiger Kiesel

  • Department of Statistics, London School of Economics, London, UK

    Rüdiger Kiesel

Bibliographic Information

  • Book Title: Risk-Neutral Valuation

  • Book Subtitle: Pricing and Hedging of Financial Derivatives

  • Authors: Nicholas H. Bingham, Rüdiger Kiesel

  • Series Title: Springer Finance

  • DOI: https://doi.org/10.1007/978-1-4471-3856-3

  • Publisher: Springer London

  • eBook Packages: Springer Book Archive

  • Copyright Information: Springer-Verlag London 2004

  • Hardcover ISBN: 978-1-85233-458-1Published: 16 June 2004

  • Softcover ISBN: 978-1-84996-873-7Published: 21 October 2010

  • eBook ISBN: 978-1-4471-3856-3Published: 29 June 2013

  • Series ISSN: 1616-0533

  • Series E-ISSN: 2195-0687

  • Edition Number: 2

  • Number of Pages: XVIII, 438

  • Topics: Quantitative Finance, Finance, general

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