Relevant bibliographies by topics / Risk-neutral valuation

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  1. Journal articles
  2. Dissertations / Theses
  3. Books
  4. Book chapters

Academic literature on the topic 'Risk-neutral valuation'

Author: Grafiati
Published: 4 June 2021
Last updated: 1 February 2022

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Journal articles on the topic "Risk-neutral valuation"

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Costantini, Cristina, Marco Papi, and Fernanda D’Ippoliti. "Singular risk-neutral valuation equations." Finance and Stochastics 16, no. 2 (December 9, 2011): 249–74. http://dx.doi.org/10.1007/s00780-011-0166-8.

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van Bragt, David, Marc K. Francke, Stefan N. Singor, and Antoon Pelsser. "Risk-Neutral Valuation of Real Estate Derivatives." Journal of Derivatives 23, no. 1 (August 31, 2015): 89–110. http://dx.doi.org/10.3905/jod.2015.23.1.089.

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Ibrahim, Siti Nur Iqmal, John G. O’Hara, and Nick Constantinou. "Risk-neutral valuation of power barrier options." Applied Mathematics Letters 26, no. 6 (June 2013): 595–600. http://dx.doi.org/10.1016/j.aml.2012.12.016.

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Balbás, Alejandro, Raquel Balbás, and Silvia Mayoral. "Risk-neutral valuation with infinitely many trading dates." Mathematical and Computer Modelling 45, no. 11-12 (June 2007): 1308–18. http://dx.doi.org/10.1016/j.mcm.2006.11.002.

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Clement, E., C. Gourieroux, and A. Monfort. "Econometric specification of the risk neutral valuation model." Journal of Econometrics 94, no. 1-2 (January 2000): 117–43. http://dx.doi.org/10.1016/s0304-4076(99)00019-6.

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Bauer, Daniel, Rüdiger Kiesel, Alexander Kling, and Jochen Ruß. "Risk-neutral valuation of participating life insurance contracts." Insurance: Mathematics and Economics 39, no. 2 (October 2006): 171–83. http://dx.doi.org/10.1016/j.insmatheco.2006.02.003.

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STEIN, HARVEY J. "FIXING RISK NEUTRAL RISK MEASURES." International Journal of Theoretical and Applied Finance 19, no. 03 (April 21, 2016): 1650021. http://dx.doi.org/10.1142/s0219024916500217.

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In line with regulations and common risk management practice, the credit risk of a portfolio is managed via its potential future exposures (PFEs), expected exposures (EEs), and related measures, the expected positive exposure (EPE), effective expected exposure (EEE), and the effective expected positive exposure (EEPE). Notably, firms use these exposures to set economic and regulatory capital levels. Their values have a big impact on the capital that firms need to hold to manage their risks. Due to the growth of credit valuation adjustment (CVA) computations, and the similarity of CVA computations to exposure computations, firms find it expedient to compute these exposures under the risk neutral measure. Here, we show that exposures computed under the risk neutral measure are essentially arbitrary. They depend on the choice of numéraire, and can be manipulated by choosing a different numéraire. The numéraire can even be chosen in such a way as to pass backtests. Even when restricting attention to commonly used numéraires, exposures can vary by a factor of two or more. As such, it is critical that these calculations be carried out under the real world measure, not the risk neutral measure. To help rectify the situation, we show how to exploit measure changes to efficiently compute real world exposures in a risk neutral framework, even when there is no change of measure from the risk neutral measure to the real world measure. We also develop a canonical risk neutral measure that can be used as an alternative approach to risk calculations.
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Bauer, Daniel, Daniela Bergmann, and Rüdiger Kiesel. "On the Risk-Neutral Valuation of Life Insurance Contracts with Numerical Methods in View." ASTIN Bulletin 40, no. 1 (May 2010): 65–95. http://dx.doi.org/10.2143/ast.40.1.2049219.

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AbstractIn recent years, market-consistent valuation approaches have gained an increasing importance for insurance companies. This has triggered an increasing interest among practitioners and academics, and a number of specific studies on such valuation approaches have been published.In this paper, we present a generic model for the valuation of life insurance contracts and embedded options. Furthermore, we describe various numerical valuation approaches within our generic setup. We particularly focus on contracts containing early exercise features since these present (numerically) challenging valuation problems.Based on an example of participating life insurance contracts, we illustrate the different approaches and compare their efficiency in a simple and a generalized Black-Scholes setup, respectively. Moreover, we study the impact of the considered early exercise feature on our example contract and analyze the influence of model risk by additionally introducing an exponential Lévy model.
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Carmona, René, and Juri Hinz. "Risk-Neutral Models for Emission Allowance Prices and Option Valuation." Management Science 57, no. 8 (August 2011): 1453–68. http://dx.doi.org/10.1287/mnsc.1110.1358.

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HAREL, ARIE, GIORA HARPAZ, and JACK CLARK FRANCIS. "PRICING SECURITIES WITH EXCHANGE-IMPOSED PRICE LIMITS VIA RISK NEUTRAL VALUATION." International Journal of Theoretical and Applied Finance 10, no. 03 (May 2007): 399–406. http://dx.doi.org/10.1142/s021902490700424x.

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Asian and European financial markets impose daily price fluctuation limits on individual securities. In the US several futures exchanges are regulated by price fluctuation limits as well. The price limits in most exchanges are set daily, and they are usually based on a percentage change from the previous day's closing price. We show that the future cash flows of a security subject to price limit regulation resemble that of a distinctive contingent claim. Assuming that the security price follows a lognormal distribution, we use the risk-neutral valuation relation (RNVR) developed by [4] to derive the security valuation, in the presence of price fluctuation limits. The characteristics of the pricing formula are examined analytically and numerically.
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Dissertations / Theses on the topic "Risk-neutral valuation"

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Camara, Antonio Guimaraes de Sousa da. "Four theoretical essays on risk neutral valuation relationships." Thesis, Lancaster University, 1997. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.389934.

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Kazlovich, Uladzimir. "Využití finančních derivátů pro risk management subjektů mezinárodního obchodu." Master's thesis, Vysoká škola ekonomická v Praze, 2011. http://www.nusl.cz/ntk/nusl-195487.

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The aim of the thesis is to present a robust conceptual framework for risk management of non-financial companies in order to improve decision making in the area of hedging with derivative instruments. Application of modern quantitative methods.
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Lundström, Edvin. "On the Proxy Modelling of Risk-Neutral Default Probabilities." Thesis, KTH, Matematisk statistik, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-273624.

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Since the default of Lehman Brothers in 2008, it has become increasingly important to measure, manage and price the default risk in financial derivatives. Default risk in financial derivatives is referred to as counterparty credit risk (CCR). The price of CCR is captured in Credit Valuation Adjustment (CVA). This adjustment should in principle always enter the valuation of a derivative traded over-the-counter (OTC). To calculate CVA, one needs to know the probability of default of the counterparty. Since CVA is a price, what one needs is the risk-neutral probability of default. The typical way of obtaining risk-neutral default probabilities is to build credit curves calibrated using Credit Default Swaps (CDS). However, for a majority of a bank's counterparties there are no CDSs liquidly traded. This constitutes a major challenge. How does one model the risk-neutral default probability in the absence of observable CDS spreads? A number of methods for constructing proxy credit curves have been proposed previously. A particularly popular choice is the so-called Nomura (or cross-section) model. In studying this model, we find some weaknesses, which in some instances lead to degenerate proxy credit curves. In this thesis we propose an altered model, where the modelling quantity is changed from the CDS spread to the hazard rate. This ensures that the obtained proxy curves are valid by construction. We find that in practice, the Nomura model in many cases gives degenerate proxy credit curves. We find no such issues for the altered model. In some cases, we see that the differences between the models are minor. The conclusion is that the altered model is a better choice since it is theoretically sound and robust.
Sedan Lehman Brothers konkurs 2008 har det blivit allt viktigare att mäta, hantera och prissätta kreditrisken i finansiella derivat. Kreditrisk i finansiella derivat benämns ofta motpartsrisk (CCR). Priset på motpartsrisk fångas i kreditvärderingsjustering (CVA). Denna justering bör i princip alltid ingå i värderingen av ett derivat som handlas över disk (eng. over-the-counter, OTC). För att beräkna CVA behöver man veta sannolikheten för fallissemang (konkurs) hos motparten. Eftersom CVA är ett pris, behöver man den riskneutrala sannolikheten för fallissemang. Det typiska tillvägagångsättet för att erhålla riskneutrala sannolikheter är att bygga kreditkurvor kalibrerade med hjälp av kreditswappar (CDS:er). För en majoritet av en banks motparter finns emellertid ingen likvid handel i CDS:er. Detta utgör en stor utmaning. Hur ska man modellera riskneutrala fallissemangssannolikheter vid avsaknad av observerbara CDS-spreadar? Ett antal metoder för att konstruera proxykreditkurvor har föreslagits tidigare. Ett särskilt populärt val är den så kallade Nomura- (eller cross-section) modellen. När vi studerar denna modell hittar vi ett par svagheter, som i vissa fall leder till degenererade proxykreditkurvor. I den här uppsatsen föreslår vi en förändrad modell, där den modellerade kvantiteten byts från CDS-spreaden till riskfrekvensen (eng. hazard rate). Därmed säkerställs att de erhållna proxykurvorna är giltiga, per konstruktion. Vi finner att Nomura-modellen i praktiken i många fall ger degenererade proxykreditkurvor. Vi finner inga sådana problem för den förändrade modellen. I andra fall ser vi att skillnaderna mellan modellerna är små. Slutsatsen är att den förändrade modellen är ett bättre val eftersom den är teoretiskt sund och robust.
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Moenig, Thorsten. "Optimal Policyholder Behavior in Personal Savings Products and its Impact on Valuation." Digital Archive @ GSU, 2012. http://digitalarchive.gsu.edu/rmi_diss/28.

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Policyholder exercise behavior presents an important risk factor for life insurance companies. Yet, most approaches presented in the academic literature – building on value maximizing strategies akin to the valuation of American options – do not square well with observed prices and exercise patterns. Following a recent strand of literature, in order to gain insights on what drives policyholder behavior, I first develop a life-cycle model for variable annuities (VA) with withdrawal guarantees. However, I explicitly allow for outside savings and investments, which considerably affects the results. Specifically, I find that withdrawal patterns after all are primarily motivated by value maximization – but with the important asterisk that the value maximization should be taken out from the policyholders’ perspective accounting for individual tax benefits. To this effect, I develop a risk-neutral valuation methodology that takes these different tax structures into consideration, and apply it to our example contract as well as a representative empirical VA. The results are in line with corresponding outcomes from the life cycle model, and I find that the withdrawal guarantee fee from the empirical product roughly accords with its marginal price to the insurer. I further consider the implications of policyholder behavior on product design. In particular – due to differential tax treatments and contrary to option pricing theory – the marginal value of such guarantees can become negative, even when the holder is a value maximizer. For instance, as I illustrate with both a simple two-period model and an empirical VA, a common death benefit guarantee may indeed yield a negative marginal value to the insurer.
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Haj, Kazem Kashani Hamed. "A real options model for the financial valuation of infrastructure systems under uncertainty." Diss., Georgia Institute of Technology, 2012. http://hdl.handle.net/1853/43630.

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Build-Operate-Transfer (BOT) is a form of Public-Private Partnerships that is commonly used to close the growing gap between the cost of developing and modernizing transportation infrastructure systems and the financial resources available to governments. When assessing the feasibility of a BOT project, private investors consider revenue risk - which is stemmed from the uncertainty about future traffic demand - as a critical factor. A potential approach to mitigating the revenue risk is the offering of revenue risk sharing mechanisms such as Minimum Revenue Guarantee options by the government. In addition to Minimum Revenue Guarantee options, a mechanism known as Traffic Revenue Cap options may also be negotiated, which makes the government entitled to a share of revenue when it grows beyond a specified threshold. Financial valuation of investments in BOT projects should take into account uncertainty about future traffic demand, as well as Minimum Revenue Guarantee and Traffic Revenue Cap options. The conventional valuation methods including Net Present Value (NPV) analysis are not capable of integrating the uncertainty about future traffic demand in the valuation of BOT projects and properly pricing Minimum Revenue Guarantee and Traffic Revenue Cap options. Real options analysis can be used as an alternative approach to valuation of investments in transportation projects under uncertainties. However, the appropriate application of real options analysis to valuation of investments in transportation projects is conditioned upon overcoming specific theoretical challenges. Current real options models do not provide a systematic method for estimating the project volatility, which measures the variability of investment value. Existing models do not provide a method for calculating the market value of Minimum Revenue Guarantee and Traffic Revenue Cap options. Also, current models are not able to characterize the impact of Minimum Revenue Guarantee and Traffic Revenue Cap options on private investors' financial risk profile. The overarching objective of this research is to apply the real options theory in order to price Minimum Revenue Guarantee and Traffic Revenue Cap options under the uncertainty about future traffic demand. To achieve this objective, a real options model is created that characterizes the long-term traffic demand uncertainty in BOT projects and determines investors' financial risk profile under uncertainty about future traffic demand. This model presents a novel method for estimating the project volatility for real options analysis. This model devises a market-based option pricing approach to determine the correct value of Minimum Revenue Guarantee and Traffic Revenue Cap options. An appropriate procedure is created for characterizing the impact of Minimum Revenue Guarantee and Traffic Revenue Cap options on the investors' financial risk profile. The proposed real options model is applied to a BOT project to illustrate the valuation process. The limitations of the proposed real options model, as well as the barriers to its implementation, are identified and recommendations for future research are offered. This research contributes to the state of knowledge by presenting a new method for estimating the project volatility, which is required for the real options analysis of transportation investments. It also introduces a risk-neutral valuation method for pricing the market value of Minimum Revenue Guarantee and Traffic Revenue Cap options in BOT projects. The research also contributes to the state of practice by introducing a novel class of assessment tools for decision makers that characterize the investors' financial risk profile under uncertainty about future traffic demand. Proper methods for pricing of Minimum Revenue Guarantee and Traffic Revenue Cap options are useful to public and private investors, in order to avoid wasting capital in transportation projects.
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Ventura, Ana Cristina Alves. "Tratamento dos mecanismos de mitigação de risco através da transferência de riscos de seguros para o mercado financeiro." Master's thesis, Instituto Superior de Economia e Gestão, 2010. http://hdl.handle.net/10400.5/2234.

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Mestrado em Ciências Actuariais
O presente trabalho tem como principal objectivo fornecer um contributo ao nível dos estudos realizados sobre o regime Solvência II, que visa implementar um novo sistema de solvência para as empresas de seguros e resseguros na União Europeia. Pretende-se apresentar uma avaliação do impacto da utilização de mecanismos de mitigação do risco (securitização) através da transferência de alguns riscos técnicos de seguros, mais concretamente do ramo Vida, para o mercado financeiro, analisando o seu impacto nas provisões técnicas, nos requisitos de capital e no processo de supervisão. Assim, serão criados dois produtos que pretendem transferir para os mercados financeiros os riscos técnicos de seguros, mais concretamente os riscos de longevidade e de mortalidade, realizando-se uma avaliação em ambiente de Solvência 2 através do cálculo das provisões técnicas e dos requisitos de capital. Posteriormente um deles será avaliado numa óptica de investidor, utilizando duas metodologias distintas: a Transformada de Wang e uma abordagem neutra face ao risco.
The major goal of this dissertation is to make a contribution to the current studies about Solvency II which aims to implement a new solvency system for the insurance and reinsurance companies in the European Union. It is intended to evaluate the impact of some risk mitigation mechanisms (securitization), through a transfer of some technical insurance risks (Life Risks) into the financial markets, with the consequent analysis of its impact in technical provisions, capital requirements and supervision processes. As a means to further evaluate risk mitigation mechanisms in context to Solvency 2, two unique products were derived that transferred the technical insurance risks, such as longevity and mortality, into the financial markets. Ultimately, one of the products was priced accordingly with investor's sentiment, using two different methodologies, namely Wang Transform and a risk neutral valuation.
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Frederico, Sofia Gandiaga. "Avaliação de opções e garantias embutidas em seguros ligados a fundos de investimento." Master's thesis, Instituto Superior de Economia e Gestão, 2011. http://hdl.handle.net/10400.5/3758.

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Mestrado em Ciências Actuariais
A avaliação de opções contratuais e garantias financeiras encontra-se no centro das atenções do sector segurador e tem despertado um forte interesse académico nos anos recentes. Tal decorre, por um lado, das tendências evolutivas ao nível dos seguros comercializados no ramo Vida, com características cada vez mais complexas e ligadas a uma vertente financeira e, por outro, do desenvolvimento de importantes projectos internacionais, tal como o Solvência II. Em linhas gerais, o presente trabalho visa estudar a aplicação da teoria das opções financeiras à avaliação de contratos de seguros ligados a fundos de investimento com determinadas opções contratuais e garantias financeiras, tendo por base o princípio de avaliação market-consistent. Para alcançar esse objectivo, uma parte importante da análise centra-se no processo de calibragem de modelos estocásticos para certos riscos de mercado, designadamente o risco de taxa de juro e o risco accionista, de forma o mais consistente possível com a informação disponível nos mercados financeiros, com o propósito de gerar cenários económicos futuros num ambiente neutro face ao risco. Posteriormente, o valor de certas garantias financeiras e da opção de resgate total de um contrato é determinado através da aplicação de metodologias baseadas na simulação de Monte Carlo.
The valuation of contractual options and financial guarantees is at the center of attention of the insurance sector and has drawn a strong academic interest in recent years. This is due, on one hand, to the evolutionary trends in Life insurance products, with features that are increasingly complex and connected to the financial market and, on the other hand, to the development of important international projects, such as Solvency II. In general, this paper aims to study the application of financial options theory to the valuation of unit-linked contracts with some contractual options and financial guarantees. The study is based on the principle of market-consistent valuation. To achieve this purpose, an important part of the analysis focuses on the calibration process of stochastic models for certain market risks, namely the interest rate risk and the equity risk, in a way as consistent as possible with the information available in the financial markets, with the aim of generating future economic scenarios in a risk-neutral world. Afterwards, the value of some financial guarantees and of the surrender option is determined by means of methodologies based on the Monte Carlo simulation method.
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Oliveira, Luís Miguel Godinho de. "A extracção e a importância da informação contida nos preços dos derivados financeiros. Expectativas de mercado e prémios de opções: uma aplicação a opções sobre futuros de taxa de juro." Master's thesis, Instituto Superior de Economia e Gestão, 2002. http://hdl.handle.net/10400.5/635.

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Mestrado em Economia Monetária e Financeira
It's usually accepted that financial asset prices reflect market participants' expectations concerning the evolution of certain important economic and financial variables. In comparison with the majority of the other financial assets, in particular against the futures or forwards, option prices have an additional interest resulting from their ability to provide information, not only in terms of the expected future value of an asset, but also about the higher moments of the probability distribution perceived by economic agents. Regarding the relationship among option prices and their strike prices it's possible to estimate the risk-neutral probability density function (RNPDF), which allow us to characterise almost completely, market expectations regarding the price of the underlying asset at the maturity date of the option. In the Black-Sholes framework, RNPDF estimation would be a trivial issue only consisting in implied volatility estimation. However, the systematic differences observed between theoretical model prices and those observed in the market, raise some suspicions about the reality adjustment of some of its premises, namely the lognormality for the underlying price distribution and the constant volatility assumed across the time and different strike prices. In this work, a set of alternative approaches for the RNPDF estimation is presented, along with its advantages and drawbacks, as a way to characterise the current state of the art. Using EURIBOR 3-month interest rate future option prices, and considering a mixture of lognormal distributions, we estimate RNPDF for some days around ECB Council meetings, in order to analyse market views about possible changes in ECB reference interest rates in these meetings. We also study the impact in market expectations, regarding the evolution of shorter-term interest rates, from the events that occurred in the USA on the 11th of September 2001, and the "time-to-maturity" effect on RNPDF volatility.
É geralmente aceite que os preços dos activos financeiros reflectem as expectativas dos participantes nos mercados. Face à maioria dos activos financeiros, em particular aos futuros ou "forwards", os preços das opções possuem um interesse adicional oriundo da capacidade que têm de fornecer informação relativa, não só, ao valor médio esperado pelo mercado para o preço futuro do activo subjacente, mas também, sobre os momentos de ordem mais elevada da distribuição de probabilidade percepcionada pelos agentes económicos. Com base na relação entre os preços das opções e respectivos preços de exercício é possível estimar a função de densidade de probabilidade neutra ao risco (FDPNR) que permite caracterizar, de uma forma quase completa, o perfil de expectativas dos agentes relativamente ao preço do activo subjacente na maturidade opção. No universo do modelo Black-Sholes, a estimação da FDPNR seria um assunto trivial consistindo apenas na estimação da volatilidade implícita. Porém, as diferenças sistemáticas observadas, entre os preços gerados pelo modelo e os observados no mercado, levantam a suspeita que algumas das suas hipóteses são pouco realísticas, nomeadamente a lognormalidade para a distribuição do preço do activo subjacente e a volatilidade constante assumida para os diferentes preços de exercício e ao longo do tempo. Neste trabalho é apresentado um conjunto de abordagens alternativas para a estimação de FDPNR, suas vantagens e desvantagens relativas, procurando-se caracterizar o actual estado da arte. Recorrendo aos preços de opções sobre futuros da taxa de juro EURIBOR a três meses e com base numa mistura de distribuições lognormais, estimamos as FDPNR para algumas datas em torno das reuniões do Conselho do BCE, utilizando-as na análise das expectativas do mercado relativamente a possíveis alterações das taxas de juro directoras nessas reuniões. Analisamos ainda o impacto nas expectativas dos agentes, relativamente à evolução das taxas de juro, dos acontecimentos ocorridos nos EUA, em 11 de Setembro de 2001 e o efeito "time-to-maturity" na volatilidade das FDPNR.
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Hakala, Michal. "Modely úrokových měr - praktické aspekty." Master's thesis, Vysoká škola ekonomická v Praze, 2017. http://www.nusl.cz/ntk/nusl-359256.

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Topic of the master thesis is practice of interest rate models. Literature dedicated to the interest rate models usually presents theory in very general form. Theory presented in general form leads to a gap between theory and practice. Author tries to fill this gap. Thesis describes basic theory and presents practical computations, which are relevant to generating interest rate scenarios. Contribution is given by derivation of formulas and computational methods in form directly applicable for implementation of presented models. It is common practice to validate quality of interest rate scenarios. Author presents several tests and implements them in programming language Python. Tests are implemented as application with graphical user interface.
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Chen, Pei-Jung, and 陳姵蓉. "How to Measure the Credit Risk of Loan Positions by Risk Neutral Valuation for Commercial Banks." Thesis, 2003. http://ndltd.ncl.edu.tw/handle/91585069800424081217.

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碩士
國立中央大學
財務金融研究所
91
For the past decades, we usually use 5C, 5P methods and financial ratio analysis to measure credit risk for bank loans; however, they are too subjective. Therefore this paper uses an objective and quantitative model, Risk Neutral Valuation, to measure credit risk of loan positions. The model is used to study: 1) If Risk Neutral Valuation is better than traditional methods; and 2) If credit spread is significant correlated with different types of data. Those data are from market interest rates, TEJ, and bank loans. We estimate credit spread, the probability of default and the differences between actual spread (AS) and credit spread (CS). The empirical results: 1) By Chi—Square Test, actual spread is significant correlated with different types of lending companies, conditions of loans, terms of loans, collateral and purposes. It means the direction of the subjective analysis is not wrong.2) the average of the differences between AS and CS are negatives, so we infer actual spread is too low. In order to know if our inference is right, the probability of default (or loss given default) is significant correlated with the differences between AS and CS. In other words, actual spread is lower than credit spread, and it proves our inference. Hence, we suggest the bank should use quantitative model to calculate the accurate spread to enhance credit risk management and policies.
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Books on the topic "Risk-neutral valuation"

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Bingham, Nicholas H., and Rüdiger Kiesel. Risk-Neutral Valuation. London: Springer London, 1998. http://dx.doi.org/10.1007/978-1-4471-3619-4.

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Bingham, Nicholas H., and Rüdiger Kiesel. Risk-Neutral Valuation. London: Springer London, 2004. http://dx.doi.org/10.1007/978-1-4471-3856-3.

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Bingham, N. H. Risk-neutral valuation: Pricing and hedging of financial derivatives. London: Springer, 1998.

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Bingham, Nicholas H., and Rudiger Kiesel. Risk-Neutral Valuation: Pricing and Hedging of Financial Derivatives. Springer, 2014.

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Bingham, Nicholas H., and Rudiger Kiesel. Risk-Neutral Valuation: Pricing and Hedging of Financial Derivatives (Springer Finance). Springer, 2001.

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Bingham, Nicholas H., and Rüdiger Kiesel. Risk-Neutral Valuation: Pricing and Hedging of Financial Derivatives (Springer Finance). 2nd ed. Springer, 2004.

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Book chapters on the topic "Risk-neutral valuation"

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Bingham, Nicholas H., and Rüdiger Kiesel. "Credit Risk." In Risk-Neutral Valuation, 375–408. London: Springer London, 2004. http://dx.doi.org/10.1007/978-1-4471-3856-3_9.

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Bingham, Nicholas H., and Rüdiger Kiesel. "Derivative Background." In Risk-Neutral Valuation, 1–31. London: Springer London, 1998. http://dx.doi.org/10.1007/978-1-4471-3619-4_1.

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Bingham, Nicholas H., and Rüdiger Kiesel. "Projections and Conditional Expectations." In Risk-Neutral Valuation, 279–80. London: Springer London, 1998. http://dx.doi.org/10.1007/978-1-4471-3619-4_10.

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Bingham, Nicholas H., and Rüdiger Kiesel. "The Separating Hyperplane Theorem." In Risk-Neutral Valuation, 281–82. London: Springer London, 1998. http://dx.doi.org/10.1007/978-1-4471-3619-4_11.

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Bingham, Nicholas H., and Rüdiger Kiesel. "Probability Background." In Risk-Neutral Valuation, 33–65. London: Springer London, 1998. http://dx.doi.org/10.1007/978-1-4471-3619-4_2.

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Bingham, Nicholas H., and Rüdiger Kiesel. "Stochastic Processes in Discrete Time." In Risk-Neutral Valuation, 67–82. London: Springer London, 1998. http://dx.doi.org/10.1007/978-1-4471-3619-4_3.

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Bingham, Nicholas H., and Rüdiger Kiesel. "Mathematical Finance in Discrete Time." In Risk-Neutral Valuation, 83–131. London: Springer London, 1998. http://dx.doi.org/10.1007/978-1-4471-3619-4_4.

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Bingham, Nicholas H., and Rüdiger Kiesel. "Stochastic Processes in Continuous Time." In Risk-Neutral Valuation, 133–70. London: Springer London, 1998. http://dx.doi.org/10.1007/978-1-4471-3619-4_5.

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Bingham, Nicholas H., and Rüdiger Kiesel. "Mathematical Finance in Continuous Time." In Risk-Neutral Valuation, 171–228. London: Springer London, 1998. http://dx.doi.org/10.1007/978-1-4471-3619-4_6.

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Bingham, Nicholas H., and Rüdiger Kiesel. "Incomplete Markets." In Risk-Neutral Valuation, 229–44. London: Springer London, 1998. http://dx.doi.org/10.1007/978-1-4471-3619-4_7.

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