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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.
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