Risk-Neutral Valuation: Pricing and Hedging of Financial Derivatives by Bingham N.H., Kiesel R.

Risk-Neutral Valuation: Pricing and Hedging of Financial Derivatives



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Risk-Neutral Valuation: Pricing and Hedging of Financial Derivatives Bingham N.H., Kiesel R. ebook
Publisher: Springer Verlag
Format: djvu
ISBN: 1852334584,
Page: 455


Pricing and Hedging Of Financial Derivatives. Research reveals why hedge funds are an unlikely large source of systemic risk. Duffie, D and Singleton, K (2003), Credit Risk: Pricing, Management, and Measurement, Princeton: Princeton University Press (Princeton Series in Finance). In the risk-neutral evaluation, it is not assumed that the investors' preferences before risk are neutral, and it does not use actual probabilities, but the risk-neutral probabilities or also called martingale measures. N H Bingham and R Kiesel, Risk-Neutral Valuation, Springer; T Björk, Arbitrage Theory in Continuous Time, Oxford; P J Hunt and J Kennedy, Financial Derivatives in Theory and Practice, Wiley; D Lamberton and J Kennedy, Thorsten Rheinlander and Jenny Sexton, Hedging Derivatives, World Scientific. A wide range of financial derivatives commonly traded in the equity and fixed income markets are analysed, emphasising aspects of pricing, hedging and practical usage. (Phys.org)—Some hedge funds manipulate stock prices at the end of the month to improve the returns that they report to their investors, a new study suggests. We developed high level financial derivatives for increasing of the effectiveness of monetary flow in an effort to suit exactly the particular needs of their customers. Производные финансовые и товарные инструменты – М. Black & Scholes (1973) established the bases of the modern financial options theory, when they developed an equilibrium model that did not need any restrictive assumption on the individual preferences regarding risk, or on market price formation in equilibrium. It presents a self-contained treatment of risk-neutral valuation theory, martingale measure, and tools in stochastic calculus required for the understanding of option pricing theory.