Hedging derivatives:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
New Jersey
World Scientific
2011
|
| Schriftenreihe: | Advanced series on statistical science & applied probability
v. 15 |
| Schlagworte: | |
| Online-Zugang: | FLA01 Volltext |
| Beschreibung: | Includes bibliographical references and index Valuation and hedging of financial derivatives are intrinsically linked concepts. Choosing appropriate hedging techniques depends on both the type of derivative and assumptions placed on the underlying stochastic process. This volume provides a systematic treatment of hedging in incomplete markets. Mean-variance hedging under the risk-neutral measure is applied in the framework of exponential Lévy processes and for derivatives written on defaultable assets. It is discussed how to complete markets based upon stochastic volatility models via trading in both stocks and vanilla options. Exponentia |
| Beschreibung: | 1 Online-Ressource (233 p.) |
| ISBN: | 9789814338806 981433880X 9789814338790 9814338796 |
Internformat
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| 490 | 0 | |a Advanced series on statistical science & applied probability |v v. 15 | |
| 500 | |a Includes bibliographical references and index | ||
| 500 | |a Valuation and hedging of financial derivatives are intrinsically linked concepts. Choosing appropriate hedging techniques depends on both the type of derivative and assumptions placed on the underlying stochastic process. This volume provides a systematic treatment of hedging in incomplete markets. Mean-variance hedging under the risk-neutral measure is applied in the framework of exponential Lévy processes and for derivatives written on defaultable assets. It is discussed how to complete markets based upon stochastic volatility models via trading in both stocks and vanilla options. Exponentia | ||
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Datensatz im Suchindex
| _version_ | 1804175286036594688 |
|---|---|
| any_adam_object | |
| author | Rheinländer, Thorsten |
| author_facet | Rheinländer, Thorsten |
| author_role | aut |
| author_sort | Rheinländer, Thorsten |
| author_variant | t r tr |
| building | Verbundindex |
| bvnumber | BV042962958 |
| collection | ZDB-4-EBU ZDB-4-EBA |
| ctrlnum | (ZDB-4-EBA)ocn775585877 (OCoLC)775585877 (DE-599)BVBBV042962958 |
| dewey-full | 332.64/57 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.64/57 |
| dewey-search | 332.64/57 |
| dewey-sort | 3332.64 257 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Electronic eBook |
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| illustrated | Not Illustrated |
| indexdate | 2024-07-10T07:13:52Z |
| institution | BVB |
| isbn | 9789814338806 981433880X 9789814338790 9814338796 |
| language | English |
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| physical | 1 Online-Ressource (233 p.) |
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| spelling | Rheinländer, Thorsten Verfasser aut Hedging derivatives by Thorsten Rheinländer & Jenny Sexton New Jersey World Scientific 2011 1 Online-Ressource (233 p.) txt rdacontent c rdamedia cr rdacarrier Advanced series on statistical science & applied probability v. 15 Includes bibliographical references and index Valuation and hedging of financial derivatives are intrinsically linked concepts. Choosing appropriate hedging techniques depends on both the type of derivative and assumptions placed on the underlying stochastic process. This volume provides a systematic treatment of hedging in incomplete markets. Mean-variance hedging under the risk-neutral measure is applied in the framework of exponential Lévy processes and for derivatives written on defaultable assets. It is discussed how to complete markets based upon stochastic volatility models via trading in both stocks and vanilla options. Exponentia Bewertung swd Derivat (Wertpapier) swd Hedging swd Mathematisches Modell swd BUSINESS & ECONOMICS / Investments & Securities / General bisacsh Mathematisches Modell Wirtschaft Hedging (Finance) Mathematical models Derivative securities Valuation Mathematical models Hedging (DE-588)4123357-8 gnd rswk-swf Derivat Wertpapier (DE-588)4381572-8 gnd rswk-swf Bewertung (DE-588)4006340-9 gnd rswk-swf Mathematisches Modell (DE-588)4114528-8 gnd rswk-swf Derivat Wertpapier (DE-588)4381572-8 s Hedging (DE-588)4123357-8 s Bewertung (DE-588)4006340-9 s 1\p DE-604 Mathematisches Modell (DE-588)4114528-8 s 2\p DE-604 Sexton, Jenny Sonstige oth http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=426341 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 | Rheinländer, Thorsten Hedging derivatives Bewertung swd Derivat (Wertpapier) swd Hedging swd Mathematisches Modell swd BUSINESS & ECONOMICS / Investments & Securities / General bisacsh Mathematisches Modell Wirtschaft Hedging (Finance) Mathematical models Derivative securities Valuation Mathematical models Hedging (DE-588)4123357-8 gnd Derivat Wertpapier (DE-588)4381572-8 gnd Bewertung (DE-588)4006340-9 gnd Mathematisches Modell (DE-588)4114528-8 gnd |
| subject_GND | (DE-588)4123357-8 (DE-588)4381572-8 (DE-588)4006340-9 (DE-588)4114528-8 |
| title | Hedging derivatives |
| title_auth | Hedging derivatives |
| title_exact_search | Hedging derivatives |
| title_full | Hedging derivatives by Thorsten Rheinländer & Jenny Sexton |
| title_fullStr | Hedging derivatives by Thorsten Rheinländer & Jenny Sexton |
| title_full_unstemmed | Hedging derivatives by Thorsten Rheinländer & Jenny Sexton |
| title_short | Hedging derivatives |
| title_sort | hedging derivatives |
| topic | Bewertung swd Derivat (Wertpapier) swd Hedging swd Mathematisches Modell swd BUSINESS & ECONOMICS / Investments & Securities / General bisacsh Mathematisches Modell Wirtschaft Hedging (Finance) Mathematical models Derivative securities Valuation Mathematical models Hedging (DE-588)4123357-8 gnd Derivat Wertpapier (DE-588)4381572-8 gnd Bewertung (DE-588)4006340-9 gnd Mathematisches Modell (DE-588)4114528-8 gnd |
| topic_facet | Bewertung Derivat (Wertpapier) Hedging Mathematisches Modell BUSINESS & ECONOMICS / Investments & Securities / General Wirtschaft Hedging (Finance) Mathematical models Derivative securities Valuation Mathematical models Derivat Wertpapier |
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