Pricing and Hedging of Derivative Securities
AbstractThe 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. Professor Nielsen concentrates on three main areas: the theory of continuous-time stochastic processes, a notorious barrier to the understanding of probability theory in finance; the general theory of trading, pricing, and hedging in continuous time, using the martingale approach; and a detailed look at the BlackScholes and the Gaussian one-factor models of the term structure of interest rates. His book enables the reader to read the journal literature with confidence, apply the methods to new problems, or to do original research in the field.
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Bibliographic InfoThis book is provided by Oxford University Press in its series OUP Catalogue with number 9780198776192 and published in 1999.
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- Kenjiro Hori, 2005. "Job Matching with Multiple-Hiring Firms and Heterogeneous Workers: A Microfoundation," Birkbeck Working Papers in Economics and Finance 0514, Birkbeck, Department of Economics, Mathematics & Statistics.
- Lars Nielsen, 2007. "Dividends in the theory of derivative securities pricing," Economic Theory, Springer, vol. 31(3), pages 447-471, June.
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- Bernd Heidergott & Warren Volk-Makarewicz, 2013. "A Measure-Valued Differentiation Approach to Sensitivity Analysis of Quantiles," Tinbergen Institute Discussion Papers 13-082/III, Tinbergen Institute.
- Robert M. Anderson & Roberto C. Raimondo, 2003. "Market Clearing and Derivative Pricing," Discussion Papers 03-17, University of Copenhagen. Department of Economics.
- Marc Henrard, 2005. "Inflation bond option pricing in Jarrow-Yildirim model," Finance 0510027, EconWPA.
- Henrard, Marc, 2006. "TIPS Options in the Jarrow-Yildirim model," MPRA Paper 1423, University Library of Munich, Germany.
- Henrard, Marc, 2007. "Skewed Libor Market Model and Gaussian HJM explicit approaches to rolled deposit options," MPRA Paper 1534, University Library of Munich, Germany.
- A. Gulisashvili & E. M. Stein, 2009. "Asymptotic Behavior of the Stock Price Distribution Density and Implied Volatility in Stochastic Volatility Models," Papers 0906.0392, arXiv.org.
- José Carlos Ramirez Sánchez, 2004. "Usos y limitaciones de los procesos estocásticos en el tratamiento de distribuciones de rendimientos con colas gordas," Revista de Analisis Economico – Economic Analysis Review, Ilades-Georgetown University, Universidad Alberto Hurtado/School of Economics and Bussines, vol. 19(1), pages 51-76, June.
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