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

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

The author has written a nice, The section on one-step binomial tree model leads to a very intuitive description of risk-neutral valuation. For options traders, options analysts, risk managers , swaps traders, financial engineers, and corporate treasurers. Albanese, Giuseppe Campolieti, ?«Advanced Derivatives Pricing and Risk Management: Theory, Tools, and Hands-On Programming Applications (Academic Press Advanced Finance)? Once again the focus is on pricing and Risk Neutral Pricing in Discrete Time, D. Chance; The boy's guide to pricing and hedging, Emmanuel Derman, Columbia University; The principles and practices of verifying derivative prices, Emmanuel Derman, Goldman Sachs & Co. This second edition features additional emphasis on the discussion of Ito calculus and Girsanovs Theorem, and the risk-neutral measure and equivalent martingale pricing approach. And until this chain reaction actually takes place, both the individual security and the overall markets are subject to changes and events that will further widen the price spread from its true intrinsic valuation. Also a brand new chapter on building Monte Carlo simulators as well as on valuation of mortgage backed securities with multiple interest rate models. It was finance again, that led me to appreciate Rudin and Royden in “Risk-Neutral Valuation, Pricing and Hedging of Financial Derivatives” by N. The books covers both derivatives markets and risk management, including credit risk and credit derivatives; forward, futures, and swaps; insurance, weather, and energy derivatives; and more. A new chapter on credit risk models and pricing of credit derivatives has been added. 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. The report accurately claims that active risk management is a key differentiator of hedge funds with respect to traditional asset management and that “risk management is by definition an active undertaking.” Unfortunately, however, not . Bingham and Rüdiger Kiesel, Springer, 1998. University of Science and Technology "The set of projects on the accompanying CDROM give students and professors the opportunity to work in a simulated environment and can be used, as is the goal here, to train students in building software modules for pricing, hedging, etc.