Articoli correlati a Hedging Derivatives: 15

Hedging Derivatives: 15 - Rilegato

Rheinlander, Thorsten

 
9789814338790: Hedging Derivatives: 15
Rilegato
ISBN 10: 9814338796 ISBN 13: 9789814338790
Casa editrice: World Scientific Pub Co Inc, 2011

Sinossi

Valuation and hedging of financial derivatives are intrinsically linked concepts. Choosing appropriate hedging techniques depends on both the type of derivative and assumptions placed on the underlying stochastic process. This volume provides a systematic treatment of hedging in incomplete markets. Mean-variance hedging under the risk-neutral measure is applied in the framework of exponential Lévy processes and for derivatives written on defaultable assets. It is discussed how to complete markets based upon stochastic volatility models via trading in both stocks and vanilla options. Exponential utility indifference pricing is explored via a duality with entropy minimization. Backward stochastic differential equations offer an alternative approach and are moreover applied to study markets with trading constraints including basis risk. A range of optimal martingale measures are discussed including the entropy, Esscher and minimal martingale measures. Quasi-symmetry properties of stochastic processes are deployed in the semi-static hedging of barrier options.This book is directed towards both graduate students and researchers in mathematical finance, and will also provide an orientation to applied mathematicians, financial economists and practitioners wishing to explore recent progress in this field.

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Editore
World Scientific Pub Co Inc
Data di pubblicazione
2011
Lingua
Inglese
ISBN 10 
9814338796
ISBN 13 
9789814338790
Rilegatura
Copertina rigida
Numero di pagine
233
Contatto del produttore
non disponibile
Persona responsabile
gpsr@libri.de
gpsr@libri.de

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