Pricing and Hedging of Derivative Securities by Lars Tyge Nielsen
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Pricing and Hedging of Derivative Securities
By Lars Tyge Nielsen

Pricing and Hedging of Derivative Securities

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Format: Hardback

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Pricing and Hedging of Derivative Securities by Lars Tyge Nielsen

Book Description

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.

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Book Details

ISBN: 9780198776192
ISBN-10: 0198776195
Format: Hardback
(241mm x 160mm x 29mm)
Pages: 460
Imprint: Oxford University Press
Publisher: Oxford University Press
Publish Date: 29-Jul-1999
Country of Publication: United Kingdom

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Author Biography - Lars Tyge Nielsen

Nielsen |f Lars Tyge |i L. |s au |t Professor of Finance, INSEAD

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