LEADER 04165nam 22006615 450 001 9910254099303321 005 20200630081536.0 010 $a3-319-38990-4 024 7 $a10.1007/978-3-319-38990-5 035 $a(CKB)3710000000734716 035 $a(DE-He213)978-3-319-38990-5 035 $a(MiAaPQ)EBC6314968 035 $a(MiAaPQ)EBC5587080 035 $a(Au-PeEL)EBL5587080 035 $a(OCoLC)1066199460 035 $a(PPN)194378942 035 $a(EXLCZ)993710000000734716 100 $a20160623d2016 u| 0 101 0 $aeng 135 $aurnn|008mamaa 181 $ctxt$2rdacontent 182 $cc$2rdamedia 183 $acr$2rdacarrier 200 10$aFundamentals and Advanced Techniques in Derivatives Hedging$b[electronic resource] /$fby Bruno Bouchard, Jean-François Chassagneux 205 $a1st ed. 2016. 210 1$aCham :$cSpringer International Publishing :$cImprint: Springer,$d2016. 215 $a1 online resource (XII, 280 p.) 225 1 $aUniversitext,$x0172-5939 311 $a3-319-38988-2 327 $aPart 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. 330 $aThis book covers the theory of derivatives pricing and hedging as well as techniques used in mathematical finance. The authors use a top-down approach, starting with fundamentals before moving to applications, and present theoretical developments alongside various exercises, providing many examples of practical interest. A large spectrum of concepts and mathematical tools that are usually found in separate monographs are presented here. In addition to the no-arbitrage theory in full generality, this book also explores models and practical hedging and pricing issues. Fundamentals and Advanced Techniques in Derivatives Hedging further introduces advanced methods in probability and analysis, including Malliavin calculus and the theory of viscosity solutions, as well as the recent theory of stochastic targets and its use in risk management, making it the first textbook covering this topic. Graduate students in applied mathematics with an understanding of probability theory and stochastic calculus will find this book useful to gain a deeper understanding of fundamental concepts and methods in mathematical finance. 410 0$aUniversitext,$x0172-5939 606 $aEconomics, Mathematical  606 $aProbabilities 606 $aPartial differential equations 606 $aCalculus of variations 606 $aQuantitative Finance$3https://scigraph.springernature.com/ontologies/product-market-codes/M13062 606 $aProbability Theory and Stochastic Processes$3https://scigraph.springernature.com/ontologies/product-market-codes/M27004 606 $aPartial Differential Equations$3https://scigraph.springernature.com/ontologies/product-market-codes/M12155 606 $aCalculus of Variations and Optimal Control; Optimization$3https://scigraph.springernature.com/ontologies/product-market-codes/M26016 615 0$aEconomics, Mathematical . 615 0$aProbabilities. 615 0$aPartial differential equations. 615 0$aCalculus of variations. 615 14$aQuantitative Finance. 615 24$aProbability Theory and Stochastic Processes. 615 24$aPartial Differential Equations. 615 24$aCalculus of Variations and Optimal Control; Optimization. 676 $a650.01513 700 $aBouchard$b Bruno$4aut$4http://id.loc.gov/vocabulary/relators/aut$0755919 702 $aChassagneux$b Jean-François$4aut$4http://id.loc.gov/vocabulary/relators/aut 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910254099303321 996 $aFundamentals and Advanced Techniques in Derivatives Hedging$92162708 997 $aUNINA