LEADER 05315nam 2200673Ia 450 001 9910456827003321 005 20200520144314.0 010 $a1-282-53143-3 010 $a9786612531439 010 $a1-4008-3311-6 024 7 $a10.1515/9781400833115 035 $a(CKB)2550000000007421 035 $a(EBL)485786 035 $a(OCoLC)593337132 035 $a(SSID)ssj0000339000 035 $a(PQKBManifestationID)11284942 035 $a(PQKBTitleCode)TC0000339000 035 $a(PQKBWorkID)10316580 035 $a(PQKB)11759830 035 $a(MiAaPQ)EBC485786 035 $a(MdBmJHUP)muse36642 035 $a(DE-B1597)446850 035 $a(OCoLC)979970234 035 $a(DE-B1597)9781400833115 035 $a(Au-PeEL)EBL485786 035 $a(CaPaEBR)ebr10367227 035 $a(CaONFJC)MIL253143 035 $a(EXLCZ)992550000000007421 100 $a20080815d2009 uy 0 101 0 $aeng 135 $aur|n||||||||| 181 $ctxt 182 $cc 183 $acr 200 00$aIndifference pricing$b[electronic resource] $etheory and applications /$fedited by Rene? Carmona 205 $aCourse Book 210 $aPrinceton $cPrinceton University Press$dc2009 215 $a1 online resource (427 p.) 225 1 $aPrinceton series in financial engineering 300 $aDescription based upon print version of record. 311 $a0-691-13883-4 320 $aIncludes bibliographical references and index. 327 $tFrontmatter --$tContents --$tPreface --$tPart 1. Foundations --$tChapter One. The Single Period Binomial Model /$rMusiela, Marek / Zariphopoulou, Thaleia --$tChapter Two. Utility Indifference Pricing: An Overview /$rHenderson, Vicky / Hobson, David --$tPart 2. Diffusion Models --$tChapter Three. Pricing, Hedging, And Designing Derivatives With Risk Measures /$rBarrieu, Pauline / Karoui, Nicole El --$tChapter Four. From Markovian To Partially Observable Models /$rCarmona, René --$tPart 3. Applications --$tChapter Five. Portfolio Optimization /$rIlhan, Aytac / Jonsson, Mattias / Sircar, Ronnie --$tChapter Six. Indifference Pricing Of Defaultable Claims /$rBielecki, Tomasz R. / Jeanblanc, Monique --$tChapter Seven. Applications To Weather Derivatives And Energy Contracts /$rCarmona, René --$tPart 4. Complements --$tChapter Eight. BSDEs And Applications /$rKaroui, Nicole El / Hamadène, Said / Matoussi, Anis --$tChapter Nine. Duality Methods /$rElliott, Robert J. / Hoek, John van der --$tBibliography --$tContributors --$tNotation Index --$tAuthor Index --$tSubject Index 330 $aThis is the first book about the emerging field of utility indifference pricing for valuing derivatives in incomplete markets. René Carmona brings together a who's who of leading experts in the field to provide the definitive introduction for students, scholars, and researchers. Until recently, financial mathematicians and engineers developed pricing and hedging procedures that assumed complete markets. But markets are generally incomplete, and it may be impossible to hedge against all sources of randomness. Indifference Pricing offers cutting-edge procedures developed under more realistic market assumptions. The book begins by introducing the concept of indifference pricing in the simplest possible models of discrete time and finite state spaces where duality theory can be exploited readily. It moves into a more technical discussion of utility indifference pricing for diffusion models, and then addresses problems of optimal design of derivatives by extending the indifference pricing paradigm beyond the realm of utility functions into the realm of dynamic risk measures. Focus then turns to the applications, including portfolio optimization, the pricing of defaultable securities, and weather and commodity derivatives. The book features original mathematical results and an extensive bibliography and indexes. In addition to the editor, the contributors are Pauline Barrieu, Tomasz R. Bielecki, Nicole El Karoui, Robert J. Elliott, Said Hamadène, Vicky Henderson, David Hobson, Aytac Ilhan, Monique Jeanblanc, Mattias Jonsson, Anis Matoussi, Marek Musiela, Ronnie Sircar, John van der Hoek, and Thaleia Zariphopoulou. The first book on utility indifference pricing Explains the fundamentals of indifference pricing, from simple models to the most technical ones Goes beyond utility functions to analyze optimal risk transfer and the theory of dynamic risk measures Covers non-Markovian and partially observed models and applications to portfolio optimization, defaultable securities, static and quadratic hedging, weather derivatives, and commodities Includes extensive bibliography and indexes Provides essential reading for PhD students, researchers, and professionals 410 0$aPrinceton series in financial engineering. 606 $aNonlinear pricing$xMathematical models 606 $aPrices$xMathematical models 608 $aElectronic books. 615 0$aNonlinear pricing$xMathematical models. 615 0$aPrices$xMathematical models. 676 $a658.8/16 701 $aCarmona$b R$g(Rene?)$0974545 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910456827003321 996 $aIndifference pricing$92473758 997 $aUNINA LEADER 01280nam a2200349 i 4500 001 991000874839707536 005 20020507102627.0 008 011016s1981 fr ||| | eng 020 $a2863320122 035 $ab10141923-39ule_inst 035 $aLE00638386$9ExL 040 $aDip.to Fisica$bita 082 0 $a539.7'2167 084 $a53(082.2) 084 $a53.3.4 084 $a53.3.5 084 $aQB463 111 2 $aRencontre de Moriond on cosmology and particles$0461529 245 10$aCosmology and particles :$bproceedings of the 16th Rencontre de Moriond, first session (Les Arcs, Savoie, France, March 15-27, 1981) /$cedited by J. 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