LEADER 04138nam  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 /$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