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Autor(en): 
  • Thorsten Rheinlander
  • Jenny Sexton
  • Hedging Derivatives 
     

    (Buch)
    Dieser Artikel gilt, aufgrund seiner Grösse, beim Versand als 3 Artikel!


    Übersicht

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    Lieferstatus:   i.d.R. innert 14-24 Tagen versandfertig
    Veröffentlichung:  Mai 2011  
    Genre:  Wirtschaft / Recht 
    ISBN:  9789814338790 
    EAN-Code: 
    9789814338790 
    Verlag:  World Scientific Publishing Company 
    Einband:  Gebunden  
    Sprache:  English  
    Dimensionen:  H 235 mm / B 157 mm / D 18 mm 
    Gewicht:  512 gr 
    Seiten:  244 
    Zus. Info:  HC gerader Rücken kaschiert 
    Bewertung: Titel bewerten / Meinung schreiben
    Inhalt:
    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.

      



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