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Pricing and Hedging of Derivative Securities

Sprache: Englisch.
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The theory of pricing and hedging of derivative securities is mathematically sophisticated. This book is an introduction to the use of advanced probability theory in financial economics, presenting the necessary mathematics in a precise and rigorous … weiterlesen
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Pricing and Hedging of Derivative Securities als Buch

Produktdetails

Titel: Pricing and Hedging of Derivative Securities
Autor/en: Lars Nielsen

ISBN: 0198776195
EAN: 9780198776192
Sprache: Englisch.
OXFORD UNIV PR

September 1999 - gebunden - 464 Seiten

Beschreibung

The theory of pricing and hedging of derivative securities is mathematically sophisticated. This book is an introduction to the use of advanced probability theory in financial economics, presenting the necessary mathematics in a precise and rigorous manner. It enables the reader to understand journal literature with confidence, to apply the methods to new problems or to do original research in the field.

Inhaltsverzeichnis


1. Stochastic Processes ;
2. Ito Calculus ;
3. Gaussian Processes ;
4. Securities and Trading Strategies ;
5. The Martingale Valuation Principle ;
6. The Black-Scholes Model ;
7. Gaussian Term Structure Models ;
Appendix A Measure and Probability ;
Appendix B Lebesgue Integrals and Expectations ;
Appendix C The Heat Equation ;
Appendix D Suggested Solutions to Exercises for Chapters 1-7 ;
Appendix E Suggested Solutions to Exercises for
Appendix A and B

Portrait

Nielsen |f Lars Tyge |i L. |s au |t Professor of Finance, INSEAD

Pressestimmen

"This is a challenging and rewarding text. It will lead mathematics graduate students toward an interest in the problems of finance. It will lead finance graduate students toward the level of mathematical sophistication necessary to contribute to the literature in this field. It will also allow some academics currently teaching undergraduate and MBA derivatives courses to confirm or challenge their own often intuitive understanding of pricing, hedging, and arbitrage....The text is worth buying for the notes to Chapter 1 alone."--The Journal of Finance Research
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