Hedging derivatives
 Responsibility
 Thorsten Rheinländer, Jenny Sexton.
 Language
 English.
 Imprint
 New Jersey : World Scientific, c2011.
 Physical description
 x, 234 p. : ill. ; 24 cm.
 Series
 Advanced series on statistical science & applied probability ; v. 15.
Access
Available online
Math & Statistics Library
Stacks
Call number  Status 

HG6024 .A3 R517 2011  Unknown 
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Creators/Contributors
 Author/Creator
 Rheinländer, Thorsten.
 Contributor
 Sexton, Jenny.
Contents/Summary
 Bibliography
 Includes bibliographical references (p. 221229) and index.
 Contents

 Introduction Stochastic Calculus Arbitrage and Completeness Exponential Levy Models MeanVariance Hedging Stochastic Volatility Models Semistatic Hedging Entropic Valuation and Hedging Hedging Constraints Optimal Martingale Measures.
 (source: Nielsen Book Data)
 Publisher's Summary
 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. Meanvariance hedging under the riskneutral 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. Quasisymmetry properties of stochastic processes are deployed in the semistatic 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.
(source: Nielsen Book Data)
Subjects
Bibliographic information
 Publication date
 2011
 Series
 Advanced series on statistical science and applied probability ; v. 15
 ISBN
 9789814338790 (hbk.)
 9814338796 (hbk.)