Indifference pricing: theory and applications
Saved in:
| Format: | Electronic eBook |
|---|---|
| Language: | English |
| Published: |
Princeton
Princeton University Press
©2009
|
| Series: | Princeton series in financial engineering
|
| Subjects: | |
| Online Access: | Volltext |
| Item Description: | Includes bibliographical references (pages 387-404) and indexes 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 ma Cover; Title; Copyright; Contents; Preface; PART 1. FOUNDATIONS; PART 2. DIFFUSION MODELS; PART 3. APPLICATIONS; PART 4. COMPLEMENTS; Bibliography; List of Contributors; Notation Index; Author Index; Subject Index |
| Physical Description: | 1 Online-Ressource (xi, 414 pages) |
| ISBN: | 9781400833115 1400833116 0691138834 |
Staff View
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| spelling | Indifference pricing theory and applications edited by René Carmona Princeton Princeton University Press ©2009 1 Online-Ressource (xi, 414 pages) txt rdacontent c rdamedia cr rdacarrier Princeton series in financial engineering Includes bibliographical references (pages 387-404) and indexes 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 ma Cover; Title; Copyright; Contents; Preface; PART 1. FOUNDATIONS; PART 2. DIFFUSION MODELS; PART 3. APPLICATIONS; PART 4. COMPLEMENTS; Bibliography; List of Contributors; Notation Index; Author Index; Subject Index BUSINESS & ECONOMICS / Sales & Selling / Management bisacsh BUSINESS & ECONOMICS / Economics / Theory bisacsh Mathematisches Modell Wirtschaft Nonlinear pricing Mathematical models Prices Mathematical models Mathematisches Modell (DE-588)4114528-8 gnd rswk-swf Preisbildung (DE-588)4047103-2 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, R. Sonstige oth Erscheint auch als Druck-Ausgabe, Hardcover 978-0-691-13883-1 http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=313434 Aggregator 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 BUSINESS & ECONOMICS / Sales & Selling / Management bisacsh BUSINESS & ECONOMICS / Economics / Theory bisacsh Mathematisches Modell Wirtschaft Nonlinear pricing Mathematical models Prices Mathematical models Mathematisches Modell (DE-588)4114528-8 gnd Preisbildung (DE-588)4047103-2 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 edited by René Carmona |
| title_fullStr | Indifference pricing theory and applications edited by René Carmona |
| title_full_unstemmed | Indifference pricing theory and applications edited by René Carmona |
| title_short | Indifference pricing |
| title_sort | indifference pricing theory and applications |
| title_sub | theory and applications |
| topic | BUSINESS & ECONOMICS / Sales & Selling / Management bisacsh BUSINESS & ECONOMICS / Economics / Theory bisacsh Mathematisches Modell Wirtschaft Nonlinear pricing Mathematical models Prices Mathematical models Mathematisches Modell (DE-588)4114528-8 gnd Preisbildung (DE-588)4047103-2 gnd |
| topic_facet | BUSINESS & ECONOMICS / Sales & Selling / Management BUSINESS & ECONOMICS / Economics / Theory Mathematisches Modell Wirtschaft Nonlinear pricing Mathematical models Prices Mathematical models Preisbildung Aufsatzsammlung |
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