Hedging derivatives:
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....
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Singapore
World Scientific Pub. Co.
2011
|
| Schriftenreihe: | Advanced series on statistical science & applied probability
15 |
| Schlagworte: | |
| Online-Zugang: | FHN01 Volltext |
| Zusammenfassung: | 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 Levy 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. Exponential utility indifference pricing is explored via a duality with entropy minimization. Backward stochastic differential equations offer an alternative approach and are moreover applied to study markets with trading constraints including basis risk. A range of optimal martingale measures are discussed including the entropy, Esscher and minimal martingale measures. Quasi-symmetry properties of stochastic processes are deployed in the semi-static hedging of barrier options. This book is directed towards both graduate students and researchers in mathematical finance, and will also provide an orientation to applied mathematicians, financial economists and practitioners wishing to explore recent progress in this field |
| Beschreibung: | x, 234 Seiten |
| ISBN: | 9789814338806 |
Internformat
MARC
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Datensatz im Suchindex
| _version_ | 1804178054964051968 |
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| any_adam_object | |
| author | Rheinländer, Thorsten Sexton, Jenny |
| author_GND | (DE-588)121479099 (DE-588)1221094238 |
| author_facet | Rheinländer, Thorsten Sexton, Jenny |
| author_role | aut aut |
| author_sort | Rheinländer, Thorsten |
| author_variant | t r tr j s js |
| building | Verbundindex |
| bvnumber | BV044638368 |
| collection | ZDB-124-WOP |
| ctrlnum | (ZDB-124-WOP)00001376 (OCoLC)1012669490 (DE-599)BVBBV044638368 |
| dewey-full | 332.6457 |
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| dewey-ones | 332 - Financial economics |
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| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Electronic eBook |
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| id | DE-604.BV044638368 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-10T07:57:53Z |
| institution | BVB |
| isbn | 9789814338806 |
| language | English |
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| oclc_num | 1012669490 |
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| physical | x, 234 Seiten |
| psigel | ZDB-124-WOP ZDB-124-WOP FHN_PDA_WOP |
| publishDate | 2011 |
| publishDateSearch | 2011 |
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| publisher | World Scientific Pub. Co. |
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| series | Advanced series on statistical science & applied probability |
| series2 | Advanced series on statistical science & applied probability |
| spelling | Rheinländer, Thorsten Verfasser (DE-588)121479099 aut Hedging derivatives Thorsten Rheinlander, Jenny Sexton Singapore World Scientific Pub. Co. 2011 x, 234 Seiten txt rdacontent c rdamedia cr rdacarrier Advanced series on statistical science & applied probability 15 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 Levy 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. Exponential utility indifference pricing is explored via a duality with entropy minimization. Backward stochastic differential equations offer an alternative approach and are moreover applied to study markets with trading constraints including basis risk. A range of optimal martingale measures are discussed including the entropy, Esscher and minimal martingale measures. Quasi-symmetry properties of stochastic processes are deployed in the semi-static hedging of barrier options. This book is directed towards both graduate students and researchers in mathematical finance, and will also provide an orientation to applied mathematicians, financial economists and practitioners wishing to explore recent progress in this field Hedging (Finance) / Mathematical models Derivative securities / Valuation / Mathematical models Bewertung (DE-588)4006340-9 gnd rswk-swf Hedging (DE-588)4123357-8 gnd rswk-swf Derivat Wertpapier (DE-588)4381572-8 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 Verfasser (DE-588)1221094238 aut Erscheint auch als Druck-Ausgabe 9789814338790 Erscheint auch als Druck-Ausgabe 9814338796 Advanced series on statistical science & applied probability 15 (DE-604)BV047033795 15 http://www.worldscientific.com/worldscibooks/10.1142/8062#t=toc Verlag URL des Erstveroeffentlichers 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 Sexton, Jenny Hedging derivatives Advanced series on statistical science & applied probability Hedging (Finance) / Mathematical models Derivative securities / Valuation / Mathematical models Bewertung (DE-588)4006340-9 gnd Hedging (DE-588)4123357-8 gnd Derivat Wertpapier (DE-588)4381572-8 gnd Mathematisches Modell (DE-588)4114528-8 gnd |
| subject_GND | (DE-588)4006340-9 (DE-588)4123357-8 (DE-588)4381572-8 (DE-588)4114528-8 |
| title | Hedging derivatives |
| title_auth | Hedging derivatives |
| title_exact_search | Hedging derivatives |
| title_full | Hedging derivatives Thorsten Rheinlander, Jenny Sexton |
| title_fullStr | Hedging derivatives Thorsten Rheinlander, Jenny Sexton |
| title_full_unstemmed | Hedging derivatives Thorsten Rheinlander, Jenny Sexton |
| title_short | Hedging derivatives |
| title_sort | hedging derivatives |
| topic | Hedging (Finance) / Mathematical models Derivative securities / Valuation / Mathematical models Bewertung (DE-588)4006340-9 gnd Hedging (DE-588)4123357-8 gnd Derivat Wertpapier (DE-588)4381572-8 gnd Mathematisches Modell (DE-588)4114528-8 gnd |
| topic_facet | Hedging (Finance) / Mathematical models Derivative securities / Valuation / Mathematical models Bewertung Hedging Derivat Wertpapier Mathematisches Modell |
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