Hedging Derivatives

Autor: Thorsten Rheinlander, Jenny Sexton

Jazyk:

Väzba: Pevná

Vydavateľ: World Scientific Publishing Co Pte Ltd

Dostupnosť: Skladom u dodávateľa

Odosielame za 10-13 dní

89.48 €

Valuation and hedging of financial derivatives are intrinsically linked concepts. Choosing appropria...

Informácie o knihe

Autor

Thorsten Rheinlander, Jenny Sexton

Jazyk

Angličtina

Väzba

Kniha - Pevná

Vydalo

2011

Stránok

244

EAN

9789814338790

ISBN

9814338796

Enbook ID

05070390

Vydavateľ

World Scientific Publishing Co Pte Ltd

Hmotnosť

592

Rozmery

158 x 230 x 19

Kompletný popis

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 Levy 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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