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Hedging derivatives

Rheinlander, Thorsten.{me_controlnum}

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Hedging derivatives

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Hedging derivatives/ Thorsten Rheinlander, Jenny Sexton.
作者:	Rheinlander, Thorsten.{me_controlnum}
其他作者:	Sexton, Jenny.
出版者:	Singapore ;World Scientific Pub. Co., : c2011.,
面頁冊數:	x, 234 p.
標題:	Hedging (Finance) - Mathematical models. -
電子資源:	http://www.worldscientific.com/worldscibooks/10.1142/8062#t=toc
ISBN:	9789814338806 (electronic bk.)

Hedging derivatives
Rheinlander, Thorsten.{me_controlnum}

Hedging derivatives[electronic resource] /Thorsten Rheinlander, Jenny Sexton. - Singapore ;World Scientific Pub. Co.,c2011. - x, 234 p.

Includes bibliographical references (p. 221-229) and index.

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.

Electronic reproduction.
Singapore :
World Scientific Publishing Co.,
2011.

System requirements: Adobe Acrobat Reader.

ISBN: 9789814338806 (electronic bk.)Subjects--Topical Terms:

781546
Hedging (Finance)
--Mathematical models.

LC Class. No.: HG6024.A3 / .R517 2011

Dewey Class. No.: 332.6457

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