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Item Details
Title:
HEDGING DERIVATIVES
By:
Thorsten Rheinlander, Jenny Sexton
Format:
Hardback
List price:
£78.00
Our price:
£70.20
Discount:
10
% off
You save:
£7.80
ISBN 10:
9814338796
ISBN 13:
9789814338790
Availability:
Usually dispatched within 1-3 weeks.
Delivery rates
Stock:
Currently
0
available
Publisher:
WORLD SCIENTIFIC PUBLISHING CO PTE LTD
Pub. date:
26 May, 2011
Series:
Advanced Series on Statistical Science & Applied Probability 15
Pages:
244
Description:
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 title provides a systematic treatment of hedging in incomplete markets.
Synopsis:
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.
Publication:
Singapore
Imprint:
World Scientific Publishing Co Pte Ltd
Returns:
Returnable
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