HEDGING DERIVATIVES | Buch

Cover: 9789814338790 | HEDGING DERIVATIVES | Thorsten Rheinlander & Jenny Sexton | Buch

Rückseite: 9789814338790 | HEDGING DERIVATIVES | Thorsten Rheinlander & Jenny Sexton | Buch

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Sprache: Englisch

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Beschreibung

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 L vy 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.

Erscheinungsjahr:	2011
Fachbereich:	Werbung & Marketing
Genre:	Importe , Wirtschaft
Rubrik:	Recht & Wirtschaft
Medium:	Buch
ISBN-13:	9789814338790
ISBN-10:	9814338796
Sprache:	Englisch
Einband:	Gebunden
Autor:	Thorsten Rheinlander & Jenny Sexton
Hersteller:	World Scientific
Verantwortliche Person für die EU:	Libri GmbH, Europaallee 1, D-36244 Bad Hersfeld, gpsr@libri.de
Maße:	235 x 157 x 18 mm
Von/Mit:	Thorsten Rheinlander & Jenny Sexton
Erscheinungsdatum:	18.05.2011
Gewicht:	0,51 kg

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