Indifference Pricing: Theory and Applications
Gespeichert in:
| Format: | Elektronisch E-Book |
|---|---|
| Sprache: | English |
| Veröffentlicht: |
Princeton, N.J.
Princeton University Press
2009
|
| Schriftenreihe: | Princeton Series in Financial Engineering
|
| Schlagworte: | |
| Online-Zugang: | DE-1043 DE-1046 DE-858 DE-859 DE-860 DE-473 DE-739 Volltext Volltext |
| Beschreibung: | Main description: This is the first book about the emerging field of utility indifference pricing for valuing derivatives in incomplete markets. René Carmona brings together a who's who of leading experts in the field to provide the definitive introduction for students, scholars, and researchers. Until recently, financial mathematicians and engineers developed pricing and hedging procedures that assumed complete markets. But markets are generally incomplete, and it may be impossible to hedge against all sources of randomness. Indifference Pricing offers cutting-edge procedures developed under more realistic market assumptions. The book begins by introducing the concept of indifference pricing in the simplest possible models of discrete time and finite state spaces where duality theory can be exploited readily. It moves into a more technical discussion of utility indifference pricing for diffusion models, and then addresses problems of optimal design of derivatives by extending the indifference pricing paradigm beyond the realm of utility functions into the realm of dynamic risk measures. Focus then turns to the applications, including portfolio optimization, the pricing of defaultable securities, and weather and commodity derivatives. The book features original mathematical results and an extensive bibliography and indexes. In addition to the editor, the contributors are Pauline Barrieu, Tomasz R. Bielecki, Nicole El Karoui, Robert J. Elliott, Said Hamadène, Vicky Henderson, David Hobson, Aytac Ilhan, Monique Jeanblanc, Mattias Jonsson, Anis Matoussi, Marek Musiela, Ronnie Sircar, John van der Hoek, and Thaleia Zariphopoulou. The first book on utility indifference pricing Explains the fundamentals of indifference pricing, from simple models to the most technical ones Goes beyond utility functions to analyze optimal risk transfer and the theory of dynamic risk measures Covers non-Markovian and partially observed models and applications to portfolio optimization, defaultable securities, static and quadratic hedging, weather derivatives, and commodities Includes extensive bibliography and indexes Provides essential reading for PhD students, researchers, and professionals |
| Beschreibung: | 1 Online-Ressource (440 S.) |
| ISBN: | 9781400833115 |
| DOI: | 10.1515/9781400833115 |
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| spelling | Indifference Pricing Theory and Applications Princeton, N.J. Princeton University Press 2009 1 Online-Ressource (440 S.) txt rdacontent c rdamedia cr rdacarrier Princeton Series in Financial Engineering Main description: This is the first book about the emerging field of utility indifference pricing for valuing derivatives in incomplete markets. René Carmona brings together a who's who of leading experts in the field to provide the definitive introduction for students, scholars, and researchers. Until recently, financial mathematicians and engineers developed pricing and hedging procedures that assumed complete markets. But markets are generally incomplete, and it may be impossible to hedge against all sources of randomness. Indifference Pricing offers cutting-edge procedures developed under more realistic market assumptions. The book begins by introducing the concept of indifference pricing in the simplest possible models of discrete time and finite state spaces where duality theory can be exploited readily. It moves into a more technical discussion of utility indifference pricing for diffusion models, and then addresses problems of optimal design of derivatives by extending the indifference pricing paradigm beyond the realm of utility functions into the realm of dynamic risk measures. Focus then turns to the applications, including portfolio optimization, the pricing of defaultable securities, and weather and commodity derivatives. The book features original mathematical results and an extensive bibliography and indexes. In addition to the editor, the contributors are Pauline Barrieu, Tomasz R. Bielecki, Nicole El Karoui, Robert J. Elliott, Said Hamadène, Vicky Henderson, David Hobson, Aytac Ilhan, Monique Jeanblanc, Mattias Jonsson, Anis Matoussi, Marek Musiela, Ronnie Sircar, John van der Hoek, and Thaleia Zariphopoulou. The first book on utility indifference pricing Explains the fundamentals of indifference pricing, from simple models to the most technical ones Goes beyond utility functions to analyze optimal risk transfer and the theory of dynamic risk measures Covers non-Markovian and partially observed models and applications to portfolio optimization, defaultable securities, static and quadratic hedging, weather derivatives, and commodities Includes extensive bibliography and indexes Provides essential reading for PhD students, researchers, and professionals Preisbildung (DE-588)4047103-2 gnd rswk-swf Mathematisches Modell (DE-588)4114528-8 gnd rswk-swf 1\p (DE-588)4143413-4 Aufsatzsammlung gnd-content Preisbildung (DE-588)4047103-2 s Mathematisches Modell (DE-588)4114528-8 s 2\p DE-604 Carmona, René Sonstige oth https://doi.org/10.1515/9781400833115 Verlag Volltext http://www.degruyter.com/search?f_0=isbnissn&q_0=9781400833115&searchTitles=true Verlag Volltext 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 2\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Indifference Pricing Theory and Applications Preisbildung (DE-588)4047103-2 gnd Mathematisches Modell (DE-588)4114528-8 gnd |
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| title | Indifference Pricing Theory and Applications |
| title_auth | Indifference Pricing Theory and Applications |
| title_exact_search | Indifference Pricing Theory and Applications |
| title_full | Indifference Pricing Theory and Applications |
| title_fullStr | Indifference Pricing Theory and Applications |
| title_full_unstemmed | Indifference Pricing Theory and Applications |
| title_short | Indifference Pricing |
| title_sort | indifference pricing theory and applications |
| title_sub | Theory and Applications |
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