Robust Static Super-Replication of Barrier Options
Maruhn, Jan H.
ISBN 10: 3110204681 ISBN 13: 9783110204681
Editore: De Gruyter, 2009
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Descrizione:
2009. Hardcover. . . . . . Books ship from the US and Ireland. Codice articolo V9783110204681
Riassunto:
Static hedge portfolios for barrier options are very sensitive with respect to changes of the volatility surface. To prevent potentially significant hedging losses this book develops a static super-replication strategy with market-typical robustness against volatility, skew and liquidity risk as well as model errors. Empirical results and various numerical examples confirm that the static superhedge successfully eliminates the risk of a changing volatility surface. Combined with associated sub-replication strategies this leads to robust price bounds for barrier options which are also relevant in the context of dynamic hedging. The mathematical techniques used to prove appropriate existence, duality and convergence results range from financial mathematics, stochastic and semi-infinite optimization, convex analysis and partial differential equations to semidefinite programming.
Informazioni sull?autore:
Jan H. Maruhn, UniCredit Markets & Investment Banking, Munich, Germany.
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Titolo: Robust Static Super-Replication of Barrier ...
Casa editrice: De Gruyter
Data di pubblicazione: 2009
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Robust Static Super-Replication of Barrier Options
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Condizione: Neu. Static hedge portfolios for barrier options are very sensitive with respect to changes of the volatility surface. To prevent potentially significant hedging losses this book develops a static super-replication strategy with market-typical robustness against volatility, skew and liquidity risk as well as model errors. Combined with associated sub-replication strategies this leads to empirically robust price bounds for barrier options which are also relevant in the context of dynamic hedging. XII,197 Seiten, gebunden (Walter de Gruyter Verlag 2009). Statt EUR 179,95. Gewicht: 480 g - Gebunden/Gebundene Ausgabe - Sprache: Englisch. Codice articolo 86836
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Robust Static Super-Replication of Barrier Options
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Condizione: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. I always felt that Jan Maruhn would be the only person on the globe who knows how to statically hedge barrier options. Now I am even more pleased to see th. Codice articolo 26739219
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Robust Static Super-Replication of Barrier Options
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Buch. Condizione: Neu. Druck auf Anfrage Neuware - Printed after ordering - Static hedge portfolios for barrier options are very sensitive with respect to changes of the volatility surface. To prevent potentially significant hedging losses this book develops a static super-replication strategy with market-typical robustness against volatility, skew and liquidity risk as well as model errors. Empirical results and various numerical examples confirm that the static superhedge successfully eliminates the risk of a changing volatility surface. Combined with associated sub-replication strategies this leads to robust price bounds for barrier options which are also relevant in the context of dynamic hedging. The mathematical techniques used to prove appropriate existence, duality and convergence results range from financial mathematics, stochastic and semi-infinite optimization, convex analysis and partial differential equations to semidefinite programming. Codice articolo 9783110204681
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Robust Static Super-Replication of Barrier Options
Editore:
De Gruyter, De Gruyter Jul 2009, 2009
ISBN 10: 3110204681
ISBN 13: 9783110204681
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Buch. Condizione: Neu. This item is printed on demand - Print on Demand Titel. Neuware -Static hedge portfolios for barrier options are very sensitive with respect to changes of the volatility surface. To prevent potentially significant hedging losses this book develops a static super-replication strategy with market-typical robustness against volatility, skew and liquidity risk as well as model errors. Empirical results and various numerical examples confirm that the static superhedge successfully eliminates the risk of a changing volatility surface. Combined with associated sub-replication strategies this leads to robust price bounds for barrier options which are also relevant in the context of dynamic hedging. The mathematical techniques used to prove appropriate existence, duality and convergence results range from financial mathematics, stochastic and semi-infinite optimization, convex analysis and partial differential equations to semidefinite programming.Walter de Gruyter GmbH, Genthiner Strasse 13, 10785 Berlin 212 pp. Englisch. Codice articolo 9783110204681
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Robust Static Super-Replication of Barrier Options
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De Gruyter, De Gruyter Jul 2009, 2009
ISBN 10: 3110204681
ISBN 13: 9783110204681
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Buch. Condizione: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -Static hedge portfolios for barrier options are very sensitive with respect to changes of the volatility surface. To prevent potentially significant hedging losses this book develops a static super-replication strategy with market-typical robustness against volatility, skew and liquidity risk as well as model errors. Empirical results and various numerical examples confirm that the static superhedge successfully eliminates the risk of a changing volatility surface. Combined with associated sub-replication strategies this leads to robust price bounds for barrier options which are also relevant in the context of dynamic hedging. The mathematical techniques used to prove appropriate existence, duality and convergence results range from financial mathematics, stochastic and semi-infinite optimization, convex analysis and partial differential equations to semidefinite programming. 212 pp. Englisch. Codice articolo 9783110204681
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Robust Static Super-Replication of Barrier Options (Radon Series on Computational and Applied Mathematics, 7)
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Robust Static Super-Replication of Barrier Options
Editore:
De Gruyter, DE, 2009
ISBN 10: 3110204681
ISBN 13: 9783110204681
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Hardback. Condizione: New. 1st. Static hedge portfolios for barrier options are very sensitive with respect to changes of the volatility surface. To prevent potentially significant hedging losses this book develops a static super-replication strategy with market-typical robustness against volatility, skew and liquidity risk as well as model errors. Empirical results and various numerical examples confirm that the static superhedge successfully eliminates the risk of a changing volatility surface. Combined with associated sub-replication strategies this leads to robust price bounds for barrier options which are also relevant in the context of dynamic hedging. The mathematical techniques used to prove appropriate existence, duality and convergence results range from financial mathematics, stochastic and semi-infinite optimization, convex analysis and partial differential equations to semidefinite programming. Codice articolo LU-9783110204681
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