Risk-neutral valuation: Pricing and hedging of financial derivatives

zbMATH Open0922.90009MaRDI QIDQ1264183FDOQ1264183

Authors: Rüdiger Kiesel, N. H. Bingham 

Publication date: 31 August 1998

Published in: Springer Finance (Search for Journal in Brave)

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zbMATH Keywords

stochastic processesinterest rate modelscontinuous timediscrete timeincomplete marketsstochastic volatility modelsarbitragefinancial derivatives

Mathematics Subject Classification ID

Introductory exposition (textbooks, tutorial papers, etc.) pertaining to operations research and mathematical programming (90-01)

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• The kind of silence: managing a reputation for voluntary disclosure in financial markets
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• State Price Density, Esscher Transforms, and Pricing Options on Stocks, Bonds, and Foreign Exchange Rates
• A solution approach to valuation with unhedgeable risks
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• Efficient hedging of options with probabilistic Haar wavelets
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• A Model with Interacting Assets Driven by Poisson Processes
• Asymptotic behaviour of the survival probabilities in an inhomogeneous semi-Markov model for the migration process in credit risk
• Non‐parametric Bayesian Inference for Integrals with respect to an Unknown Finite Measure
• Pricing credit derivatives under stochastic recovery in a hybrid model
• Valuing Equity-Indexed Annuities
• Neutral and indifference portfolio pricing, hedging and investing. With applications in Equity and FX.
• A selective overview of nonparametric methods in financial econometrics
• Loss reserves in the light of stochastic processes
• Risk Minimizing Option Pricing in a Regime Switching Market
• Risk-neutral valuation. Pricing and hedging of financial derivatives.
• “Pricing Dynamic Investment Fund Protection,” Hans U. Gerber and Gérard Pafumi, April 2000
• Optimal strategies in equity securities and derivatives
• Consistent fitting of one-factor models to interest rate data.
• Fixing risk neutral risk measures

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