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Robust static super-replication of barrier options [[electronic resource] /] / Jan H. Maruhn
| Robust static super-replication of barrier options [[electronic resource] /] / Jan H. Maruhn |
| Autore | Maruhn Jan H |
| Pubbl/distr/stampa | Berlin ; ; New York, : Walter de Gruyter, c2009 |
| Descrizione fisica | 1 online resource (209 p.) |
| Disciplina | 332.6322830151962 |
| Collana | Radon series on computational and applied mathematics |
| Soggetto topico |
Options (Finance) - Mathematical models
Hedging (Finance) - Mathematical models |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-282-29646-9
9786612296468 3-11-916585-9 3-11-020851-2 |
| Classificazione | SK 870 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Frontmatter -- Contents -- 1. Theoretical Background -- 2. Static Hedging of Barrier Options -- 3. An Optimization Approach to Static Super-Replication -- 4. Reformulation as a Semi-Infinite Problem -- 5. Eliminating Model Parameter Uncertainty -- 6. Modifications and Extensions -- 7. Avoiding Model Errors -- 8. Empirical Hedge Performance -- 9. Summary and Outlook -- A. General Existence Theorem -- B. Source Code -- Backmatter |
| Record Nr. | UNINA-9910455554403321 |
Maruhn Jan H
|
||
| Berlin ; ; New York, : Walter de Gruyter, c2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Robust static super-replication of barrier options [[electronic resource] /] / Jan H. Maruhn
| Robust static super-replication of barrier options [[electronic resource] /] / Jan H. Maruhn |
| Autore | Maruhn Jan H |
| Pubbl/distr/stampa | Berlin ; ; New York, : Walter de Gruyter, c2009 |
| Descrizione fisica | 1 online resource (209 p.) |
| Disciplina | 332.6322830151962 |
| Collana | Radon series on computational and applied mathematics |
| Soggetto topico |
Options (Finance) - Mathematical models
Hedging (Finance) - Mathematical models |
| Soggetto non controllato |
Barrier Options
Robust Optimization Semi-infinite Optimization Semidefinite Programming Static Hedging Stochastic Volatility |
| ISBN |
1-282-29646-9
9786612296468 3-11-916585-9 3-11-020851-2 |
| Classificazione | SK 870 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Frontmatter -- Contents -- 1. Theoretical Background -- 2. Static Hedging of Barrier Options -- 3. An Optimization Approach to Static Super-Replication -- 4. Reformulation as a Semi-Infinite Problem -- 5. Eliminating Model Parameter Uncertainty -- 6. Modifications and Extensions -- 7. Avoiding Model Errors -- 8. Empirical Hedge Performance -- 9. Summary and Outlook -- A. General Existence Theorem -- B. Source Code -- Backmatter |
| Record Nr. | UNINA-9910778598703321 |
|
Maruhn Jan H
|
||
| Berlin ; ; New York, : Walter de Gruyter, c2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Robust static super-replication of barrier options / / Jan H. Maruhn
| Robust static super-replication of barrier options / / Jan H. Maruhn |
| Autore | Maruhn Jan H |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Berlin ; ; New York, : Walter de Gruyter, c2009 |
| Descrizione fisica | 1 online resource (209 p.) |
| Disciplina | 332.6322830151962 |
| Collana | Radon series on computational and applied mathematics |
| Soggetto topico |
Options (Finance) - Mathematical models
Hedging (Finance) - Mathematical models |
| ISBN |
1-282-29646-9
9786612296468 3-11-916585-9 3-11-020851-2 |
| Classificazione | SK 870 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Frontmatter -- Contents -- 1. Theoretical Background -- 2. Static Hedging of Barrier Options -- 3. An Optimization Approach to Static Super-Replication -- 4. Reformulation as a Semi-Infinite Problem -- 5. Eliminating Model Parameter Uncertainty -- 6. Modifications and Extensions -- 7. Avoiding Model Errors -- 8. Empirical Hedge Performance -- 9. Summary and Outlook -- A. General Existence Theorem -- B. Source Code -- Backmatter |
| Record Nr. | UNINA-9910828709203321 |
|
Maruhn Jan H
|
||
| Berlin ; ; New York, : Walter de Gruyter, c2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||