LEADER 03786nam  2200745Ia 450 
001 9910778598703321
005 20230721022515.0
010   $a1-282-29646-9
010   $a9786612296468
010   $a3-11-916585-9
010   $a3-11-020851-2
024 7 $a10.1515/9783110208511
035   $a(CKB)1000000000789574
035   $a(EBL)453919
035   $a(OCoLC)456907359
035   $a(SSID)ssj0000342500
035   $a(PQKBManifestationID)11252498
035   $a(PQKBTitleCode)TC0000342500
035   $a(PQKBWorkID)10284950
035   $a(PQKB)11304233
035   $a(MiAaPQ)EBC453919
035   $a(DE-B1597)34910
035   $a(OCoLC)719448717
035   $a(DE-B1597)9783110208511
035   $a(Au-PeEL)EBL453919
035   $a(CaPaEBR)ebr10329812
035   $a(CaONFJC)MIL229646
035   $a(EXLCZ)991000000000789574
100   $a20090312d2009      uy             0
101 0 $aeng
135   $aur|||||||||||
181   $ctxt
182   $cc
183   $acr
200 10$aRobust static super-replication of barrier options$b[electronic resource] /$fJan H. Maruhn
210   $aBerlin ;$aNew York $cWalter de Gruyter$dc2009
215   $a1 online resource (209 p.)
225 1 $aRadon series on computational and applied mathematics,$x1865-3707 ;$v7
300   $a"RICAM, Johann Radon Institute for Computational and Applied Mathematics".
311   $a3-11-020468-1 
320   $aIncludes bibliographical references (p. [187]-191) and index.
327   $t Frontmatter -- $tContents -- $t1. Theoretical Background -- $t2. Static Hedging of Barrier Options -- $t3. An Optimization Approach to Static Super-Replication -- $t4. Reformulation as a Semi-Infinite Problem -- $t5. Eliminating Model Parameter Uncertainty -- $t6. Modifications and Extensions -- $t7. Avoiding Model Errors -- $t8. Empirical Hedge Performance -- $t9. Summary and Outlook -- $tA. General Existence Theorem -- $tB. Source Code -- $t Backmatter
330   $aStatic hedge portfolios for barrier options are very sensitive with respect to changes of the volatility surface. To prevent potentially significant hedging losses this book develops a static super-replication strategy with market-typical robustness against volatility, skew and liquidity risk as well as model errors. Empirical results and various numerical examples confirm that the static superhedge successfully eliminates the risk of a changing volatility surface. Combined with associated sub-replication strategies this leads to robust price bounds for barrier options which are also relevant in the context of dynamic hedging. The mathematical techniques used to prove appropriate existence, duality and convergence results range from financial mathematics, stochastic and semi-infinite optimization, convex analysis and partial differential equations to semidefinite programming. 
410  0$aRadon series on computational and applied mathematics ;$v7.
606   $aOptions (Finance)$xMathematical models
606   $aHedging (Finance)$xMathematical models
610   $aBarrier Options.
610   $aRobust Optimization.
610   $aSemi-infinite Optimization.
610   $aSemidefinite Programming.
610   $aStatic Hedging.
610   $aStochastic Volatility.
615  0$aOptions (Finance)$xMathematical models.
615  0$aHedging (Finance)$xMathematical models.
676   $a332.6322830151962
686   $aSK 870$2rvk
700   $aMaruhn$b Jan H$01534788
712 02$aRadon Institute for Computational and Applied Mathematics.
801  0$bMiAaPQ
801  1$bMiAaPQ
801  2$bMiAaPQ
906   $aBOOK
912   $a9910778598703321
996   $aRobust static super-replication of barrier options$93782597
997   $aUNINA