LEADER 05665nam 2200685 a 450 001 9910464555503321 005 20200520144314.0 010 $a1-283-43365-6 010 $a9786613433657 010 $a981-4338-80-X 035 $a(CKB)3400000000016040 035 $a(EBL)840619 035 $a(OCoLC)775585877 035 $a(SSID)ssj0000573154 035 $a(PQKBManifestationID)12201789 035 $a(PQKBTitleCode)TC0000573154 035 $a(PQKBWorkID)10540994 035 $a(PQKB)10041461 035 $a(MiAaPQ)EBC840619 035 $a(WSP)00008062 035 $a(Au-PeEL)EBL840619 035 $a(CaPaEBR)ebr10524570 035 $a(CaONFJC)MIL343365 035 $a(EXLCZ)993400000000016040 100 $a20110303d2011 uy 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt 182 $cc 183 $acr 200 10$aHedging derivatives$b[electronic resource] /$fThorsten Rheinla?nder, Jenny Sexton 210 $aSingapore ;$aHackensack, N.J. $cWorld Scientific$d2011 215 $a1 online resource (244 p.) 225 1 $aAdvanced series on statistical science and applied probability ;$vv. 15 300 $aDescription based upon print version of record. 311 $a981-4338-79-6 320 $aIncludes bibliographical references (p. 221-229) and index. 327 $aPreface; Contents; 1. Introduction; 1.1 Hedging in complete markets; 1.1.1 Black & Scholes analysis and its limitations; 1.1.2 Complete markets; 1.2 Hedging in incomplete markets; 1.2.1 Sources of incompleteness; 1.2.2 Calibration; 1.2.3 Mean-variance hedging; 1.2.4 Utility indi erence pricing and hedging; 1.2.5 Exotic options; 1.2.6 Optimal martingale measures; 1.3 Notes and further reading; 2. Stochastic Calculus; 2.1 Filtrations and martingales; 2.2 Semi-martingales and stochastic integrals; 2.3 Kunita-Watanabe decomposition; 2.4 Change of measure; 2.5 Stochastic exponentials 327 $a2.6 Notes and further reading3. Arbitrage and Completeness; 3.1 Strategies and arbitrage; 3.2 Complete markets; 3.3 Hidden arbitrage and local times; 3.4 Immediate arbitrage; 3.5 Super-hedging and the optional decomposition theorem; 3.6 Arbitrage via a non-equivalent measure change; 3.7 Notes and further reading; 4. Asset Price Models; 4.1 Exponential Levy processes; 4.1.1 A Levy process primer; 4.1.2 Examples of Levy processes; 4.1.3 Construction of Levy processes by subordination; 4.1.4 Risk-neutral Levy modelling; 4.1.5 Weak representation property and measure changes 327 $a4.2 Stochastic volatility models4.2.1 Examples; 4.2.2 Stochastic differential equations and time change; 4.2.3 Construction of a solution via coupling; 4.2.4 Convexity of option prices; 4.2.5 Market completion by trading in options; 4.2.6 Bubbles and strict local martingales; 4.2.7 Stochastic exponentials; 4.3 Notes and further reading; 5. Static Hedging; 5.1 Static hedging of European claims; 5.2 Duality principle in option pricing; 5.2.1 Dynamics of the dual process; 5.2.2 Duality relations; 5.3 Symmetry and self-dual processes; 5.3.1 Definitions and general properties 327 $a5.3.2 Semi-static hedging of barrier options5.3.3 Self-dual exponential Levy processes; 5.3.4 Self-dual stochastic volatility models; 5.4 Notes and further reading; 6. Mean-Variance Hedging; 6.1 Concept of mean-variance hedging; 6.2 Valuation and hedging by the Laplace method; 6.2.1 Bilateral Laplace transforms; 6.2.2 Valuation and hedging using Laplace transforms; 6.3 Valuation and hedging via integro-differential equations; 6.3.1 Feynman-Kac formula for the value function; 6.3.2 Computation of the optimal hedging strategy; 6.4 Mean-variance hedging of defaultable assets 327 $a6.4.1 Intensity-based approach6.4.2 Martingale representation; 6.4.3 Hedging of insurance claims with longevity bonds; 6.5 Quadratic risk-minimisation for payment streams; 6.6 Notes and further reading; 7. Entropic Valuation and Hedging; 7.1 Exponential utility indiffence pricing; 7.2 The minimal entropy martingale measure; 7.3 Duality results; 7.4 Properties of the utility indifference price; 7.5 Entropic hedging; 7.6 Notes and further reading; 8. Hedging Constraints; 8.1 Framework and preliminaries; 8.2 Dynamic utility indi erence pricing; 8.3 Martingale optimality principle 327 $a8.4 Utility indifference hedging and pricing using BSDEs 330 $aValuation and hedging of financial derivatives are intrinsically linked concepts. Choosing appropriate hedging techniques depends on both the type of derivative and assumptions placed on the underlying stochastic process. This volume provides a systematic treatment of hedging in incomplete markets. Mean-variance hedging under the risk-neutral measure is applied in the framework of exponential Le?vy processes and for derivatives written on defaultable assets. It is discussed how to complete markets based upon stochastic volatility models via trading in both stocks and vanilla options. Exponentia 410 0$aAdvanced series on statistical science & applied probability ;$vv. 15. 606 $aHedging (Finance)$xMathematical models 606 $aDerivative securities$xValuation$xMathematical models 608 $aElectronic books. 615 0$aHedging (Finance)$xMathematical models. 615 0$aDerivative securities$xValuation$xMathematical models. 676 $a332.64/57 700 $aRheinla?nder$b Thorsten$0611245 701 $aSexton$b Jenny$0611246 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910464555503321 996 $aHedging derivatives$91137102 997 $aUNINA