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Regular Variation
A comprehensive account of the theory and applications of regular variation.
Risk-Neutral Valuation
This second edition - completely up to date with new exercises - provides a comprehensive and self-contained treatment of the probabilistic theory behind the risk-neutral valuation principle and its application to the pricing and hedging of financial derivatives. On the probabilistic side, both discrete- and continuous-time stochastic processes are treated, with special emphasis on martingale theory, stochastic integration and change-of-measure techniques. Based on firm probabilistic foundations, general properties of discrete- and continuous-time financial market models are discussed.
Official Register
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House documents
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Proceedings
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Directors' Report
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Water-supply Paper
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