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Pricing and Hedging of Derivative Securities

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  • Nielsen, Lars Tyge

Abstract

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. 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.

Suggested Citation

  • Nielsen, Lars Tyge, 1999. "Pricing and Hedging of Derivative Securities," OUP Catalogue, Oxford University Press, number 9780198776192.
  • Handle: RePEc:oxp:obooks:9780198776192
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    Citations

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    Cited by:

    1. Ricardo T. Fernholz & Christoffer Koch, 2016. "The Rank Effect for Commodities," Papers 1607.07510, arXiv.org.
    2. Francisco Venegas Martínez & Abigail Rodríguez Nava, 2009. "Consumo y decisiones de portafolio en ambientes estocásticos: un marco teórico unificador," Ensayos Revista de Economia, Universidad Autonoma de Nuevo Leon, Facultad de Economia, vol. 0(2), pages 29-64, November.
    3. Theodoros M. Diasakos, 2011. "A Simple Characterization of Dynamic Completeness in Continuous Time," Carlo Alberto Notebooks 211, Collegio Carlo Alberto.
    4. Ricardo T. Fernholz, 2016. "A Statistical Model of Inequality," Papers 1601.04093, arXiv.org.
    5. Dorje C. Brody & Lane P. Hughston, 2011. "Interest Rates and Information Geometry," Papers 1111.3757, arXiv.org.
    6. Henrard, Marc, 2007. "Skewed Libor Market Model and Gaussian HJM explicit approaches to rolled deposit options," MPRA Paper 1534, University Library of Munich, Germany.
    7. repec:taf:jpolrf:v:20:y:2017:i:2:p:99-112 is not listed on IDEAS
    8. 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.
    9. Suresh M. Sundaresan, 2000. "Continuous-Time Methods in Finance: A Review and an Assessment," Journal of Finance, American Finance Association, vol. 55(4), pages 1569-1622, August.
    10. Fernholz, Ricardo T. & Koch, Christoffer, 2016. "Why are big banks getting bigger?," Working Papers 1604, Federal Reserve Bank of Dallas.
    11. Ricardo T. Fernholz, 2016. "Empirical Methods for Dynamic Power Law Distributions in the Social Sciences," Papers 1602.00159, arXiv.org, revised Jun 2016.
    12. Lars Nielsen, 2007. "Dividends in the theory of derivative securities pricing," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 31(3), pages 447-471, June.
    13. Marc Henrard, 2005. "Inflation bond option pricing in Jarrow-Yildirim model," Finance 0510027, EconWPA.
    14. Henrard, Marc, 2006. "TIPS Options in the Jarrow-Yildirim model," MPRA Paper 1423, University Library of Munich, Germany.
    15. Robert M. Anderson & Roberto C. Raimondo, 2003. "Market Clearing and Derivative Pricing," Discussion Papers 03-17, University of Copenhagen. Department of Economics.
    16. 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.
    17. Berg, Tobias & Mölls, Sascha H. & Willershausen, Timo, 2009. "(Real-)options, uncertainty and comparative statics: Are Black and Scholes mistaken?," Manuskripte aus den Instituten für Betriebswirtschaftslehre der Universität Kiel 645, Christian-Albrechts-Universität zu Kiel, Institut für Betriebswirtschaftslehre.
    18. 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.
    19. 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.
    20. Segura-Rodríguez, Diana Carmen & Venegas-Martínez, Francisco & Allier-Campuzano, Héctor, 2014. "Análisis estocástico de una economía pequeña y abierta: políticas fiscal y monetaria," eseconomía, Escuela Superior de Economía, Instituto Politécnico Nacional, vol. 0(41), pages 21-52, segundo s.

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