Fundamentals and Advanced Techniques in Derivatives Hedging
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Fundamentals and Advanced Techniques in Derivatives Hedging
Chassagneux, Jean-Francois; Bouchard, Bruno
Springer International Publishing AG
07/2016
280
Mole
Inglês
9783319389882
15 a 20 dias
450
Descrição não disponível.
Part A. Fundamental theorems.- Discrete time models.- Continuous time models.- Optimal management and price selection.- Part B. Markovian models and PDE approach.- Delta hedging in complete market.- Super-replication and its practical limits.- Hedging under loss contraints.- Part C. Practical implementation in local and stochastic volatility models.- Local volatility models.- Stochastic volatility models.- References.
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mathematical finance;absence of arbitrage;derivative pricing;option;portfolio management;risk management;stochastic control;stochastic targets;quantitative finance;partial differential equations
Part A. Fundamental theorems.- Discrete time models.- Continuous time models.- Optimal management and price selection.- Part B. Markovian models and PDE approach.- Delta hedging in complete market.- Super-replication and its practical limits.- Hedging under loss contraints.- Part C. Practical implementation in local and stochastic volatility models.- Local volatility models.- Stochastic volatility models.- References.
Este título pertence ao(s) assunto(s) indicados(s). Para ver outros títulos clique no assunto desejado.
