Fundamentals and Advanced Techniques in Derivatives Hedging

AvBruno Bouchard,Jean-François Chassagneux

Häftad, Engelska, 2016

701 kr

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Beskrivning

Covering the theory of derivatives pricing and hedging and techniques in mathematical finance, this book starts with basics and moves to applications, presenting theoretical developments alongside exercises, with many practical examples. It includes concepts and mathematical tools that are usually found in separate monographs.

Produktinformation

Utgivningsdatum:2016-07-01
Mått:155 x 235 x 14 mm
Vikt:466 g
Format:Häftad
Språk:Engelska
Serie:Universitext
Antal sidor:280
Förlag:Springer International Publishing AG
ISBN:9783319389882
Originaltitel:Valorisation des produits dérivés

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Mer om författaren

Bruno Bouchard is Professor of Mathematics at Université Paris-Dauphine. He is a renowned specialist in mathematical finance and stochastic control. He has been teaching arbitrage theory, option hedging techniques and stochastic control for more than ten years at French universities and engineering schools. Jean-François Chassagneux is a professor at the Department of Mathematics at Université Paris Diderot. He specialises in non-linear pricing methods and associated numerical techniques. He has been teaching mathematical finance for many years at several institutions: Ecole Nationale de la Statistique et de l’Administration Economique, Université d’Evry, Imperial College London and Université Paris Diderot.

Recensioner i media

“The book is intended for Master's and young Ph.D. students, the authors try to present the main aspects of arbitrage theory in a self-contained way based on Kabanov and Stricker’s results. … The book presents a variety of problems, aspects and techniques of modern mathematics of finance. An additional value of the book is the nontrivial problems which are added to each chapter. At the end of each chapter there are suggestions or hints on how to solve these problems.” (Ł. Stettner, Mathematical Reviews, August, 2017)

Innehållsförteckning

Part A. Fundamental theorems.- Discrete time models.- Continuous time models.- Optimal management and price selection.- Part B. Markovian models and PDE approach.- Delta hedging in complete market.- Super-replication and its practical limits.- Hedging under loss contraints.- Part C. Practical implementation in local and stochastic volatility models.- Local volatility models.- Stochastic volatility models.- References.