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Hedging derivatives [[electronic resource] /] / Thorsten Rheinländer, Jenny Sexton
| Hedging derivatives [[electronic resource] /] / Thorsten Rheinländer, Jenny Sexton |
| Autore | Rheinländer Thorsten |
| Pubbl/distr/stampa | Singapore ; ; Hackensack, N.J., : World Scientific, 2011 |
| Descrizione fisica | 1 online resource (244 p.) |
| Disciplina | 332.64/57 |
| Altri autori (Persone) | SextonJenny |
| Collana | Advanced series on statistical science and applied probability |
| Soggetto topico |
Hedging (Finance) - Mathematical models
Derivative securities - Valuation - Mathematical models |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-283-43365-6
9786613433657 981-4338-80-X |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Preface; 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
2.6 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 4.2 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 5.3.2 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 6.4.1 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 8.4 Utility indifference hedging and pricing using BSDEs |
| Record Nr. | UNINA-9910464555503321 |
Rheinländer Thorsten
|
||
| Singapore ; ; Hackensack, N.J., : World Scientific, 2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Hedging derivatives [[electronic resource] /] / Thorsten Rheinländer, Jenny Sexton
| Hedging derivatives [[electronic resource] /] / Thorsten Rheinländer, Jenny Sexton |
| Autore | Rheinländer Thorsten |
| Pubbl/distr/stampa | Singapore ; ; Hackensack, N.J., : World Scientific, 2011 |
| Descrizione fisica | 1 online resource (244 p.) |
| Disciplina | 332.64/57 |
| Altri autori (Persone) | SextonJenny |
| Collana | Advanced series on statistical science and applied probability |
| Soggetto topico |
Hedging (Finance) - Mathematical models
Derivative securities - Valuation - Mathematical models |
| ISBN |
1-283-43365-6
9786613433657 981-4338-80-X |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Preface; 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
2.6 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 4.2 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 5.3.2 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 6.4.1 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 8.4 Utility indifference hedging and pricing using BSDEs |
| Record Nr. | UNINA-9910788958703321 |
|
Rheinländer Thorsten
|
||
| Singapore ; ; Hackensack, N.J., : World Scientific, 2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Hedging derivatives / / Thorsten Rheinländer, Jenny Sexton
| Hedging derivatives / / Thorsten Rheinländer, Jenny Sexton |
| Autore | Rheinländer Thorsten |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Singapore ; ; Hackensack, N.J., : World Scientific, 2011 |
| Descrizione fisica | 1 online resource (244 p.) |
| Disciplina | 332.64/57 |
| Altri autori (Persone) | SextonJenny |
| Collana | Advanced series on statistical science and applied probability |
| Soggetto topico |
Hedging (Finance) - Mathematical models
Derivative securities - Valuation - Mathematical models |
| ISBN |
1-283-43365-6
9786613433657 981-4338-80-X |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Preface; 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
2.6 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 4.2 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 5.3.2 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 6.4.1 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 8.4 Utility indifference hedging and pricing using BSDEs |
| Record Nr. | UNINA-9910825750603321 |
|
Rheinländer Thorsten
|
||
| Singapore ; ; Hackensack, N.J., : World Scientific, 2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||