Pricing and Hedging of Derivative Securities
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|Lars Tyge Nielsen|
|A book that introduces the theory of pricing and hedging of derivative securities in continuous time graduate and advanced undergraduate students and for researchers in both academia and the financial industry. Includes background in stochastic process theory: Dynamic information structures, measurable and adapted processes, Wiener processes, geometric Brownian motion, stochastic integrals, Ito processes, Ito calculus with plenty of examples, Girsanov's Theorem, the Martingale Representation Theorem, Gaussian processes such as Ornstein-Uhlenbeck processes and Brownian bridges.|
|Math Topics:||Mathematics of Investment/Finance|
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