- Thorsten Rheinländer, Jenny Sexton.
- New Jersey : World Scientific, c2011.
- Physical description
- x, 234 p. : ill. ; 24 cm.
- Advanced series on statistical science & applied probability ; v. 15.
Math & Statistics Library
HG6024 .A3 R517 2011
- Unknown HG6024 .A3 R517 2011
- Includes bibliographical references (p. 221-229) and index.
- Introduction-- Stochastic Calculus-- Arbitrage and Completeness-- Exponential Levy Models-- Mean-Variance Hedging-- Stochastic Volatility Models-- Semi-static 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. 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.
(source: Nielsen Book Data)
- Publication date
- Advanced series on statistical science and applied probability ; v. 15
- 9789814338790 (hbk.)
- 9814338796 (hbk.)