April 2011
Intermediate to advanced
328 pages
9h 5m
English
Content preview from Risk Analysis in Finance and Insurance, 2nd Edition
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Contents
1 Introductory concepts of Financial Risk Management and
Related Mathematical Tools 1
1.1 Introductory concepts of the securities market . . . . . . . . 1
1.2 Probabilistic foundations of financial modeling and pricing of
contingentclaims ........................ 4
1.3 Elements of probability theory and stochastic analysis . . . . 12
2 Financial Risk Management in the Binomial Model 33
2.1 The binomial model of a financial market. Absence of arbitrage,
uniqueness of a risk-neutral probability measure, martingale
representation. .......................... 33
2.2 Hedging contingent claims in the binomial market model. The
Cox-Ross-Rubinsteinformu
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