Fundamentals and Advanced Techniques in Derivatives Hedging
Bouchard, Bruno.
creator
author.
aut
http://id.loc.gov/vocabulary/relators/aut
Chassagneux, Jean-François.
author.
aut
http://id.loc.gov/vocabulary/relators/aut
SpringerLink (Online service)
text
gw
2016
monographic
eng
access
XII, 280 p. online resource.
This book covers the theory of derivatives pricing and hedging as well as techniques used in mathematical finance. The authors use a top-down approach, starting with fundamentals before moving to applications, and present theoretical developments alongside various exercises, providing many examples of practical interest. A large spectrum of concepts and mathematical tools that are usually found in separate monographs are presented here. In addition to the no-arbitrage theory in full generality, this book also explores models and practical hedging and pricing issues. Fundamentals and Advanced Techniques in Derivatives Hedging further introduces advanced methods in probability and analysis, including Malliavin calculus and the theory of viscosity solutions, as well as the recent theory of stochastic targets and its use in risk management, making it the first textbook covering this topic. Graduate students in applied mathematics with an understanding of probability theory and stochastic calculus will find this book useful to gain a deeper understanding of fundamental concepts and methods in mathematical finance.
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.
by Bruno Bouchard, Jean-François Chassagneux.
Finance
Distribution (Probability theory
Differential equations, partial
Mathematical optimization
Quantitative Finance
Probability Theory and Stochastic Processes
Partial Differential Equations
Calculus of Variations and Optimal Control; Optimization
HB135-147
519
Springer eBooks
Universitext
9783319389905
https://doi.org/10.1007/978-3-319-38990-5
https://doi.org/10.1007/978-3-319-38990-5
ISI Library, Kolkata
160623
20181204134234.0
978-3-319-38990-5