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Fundamentals and Advanced Techniques in Derivatives Hedging
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...
| Clasificación: | Libro Electrónico |
|---|---|
| Autores principales: | , |
| Autor Corporativo: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Cham :
Springer International Publishing : Imprint: Springer,
2016.
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| Edición: | 1st ed. 2016. |
| Colección: | Universitext,
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| Temas: | |
| Acceso en línea: | Texto Completo |
MARC
| LEADER | 00000nam a22000005i 4500 | ||
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| 001 | 978-3-319-38990-5 | ||
| 003 | DE-He213 | ||
| 005 | 20220119052804.0 | ||
| 007 | cr nn 008mamaa | ||
| 008 | 160623s2016 sz | s |||| 0|eng d | ||
| 020 | |a 9783319389905 |9 978-3-319-38990-5 | ||
| 024 | 7 | |a 10.1007/978-3-319-38990-5 |2 doi | |
| 050 | 4 | |a H61.25 | |
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| 100 | 1 | |a Bouchard, Bruno. |e author. |4 aut |4 http://id.loc.gov/vocabulary/relators/aut | |
| 245 | 1 | 0 | |a Fundamentals and Advanced Techniques in Derivatives Hedging |h [electronic resource] / |c by Bruno Bouchard, Jean-François Chassagneux. |
| 250 | |a 1st ed. 2016. | ||
| 264 | 1 | |a Cham : |b Springer International Publishing : |b Imprint: Springer, |c 2016. | |
| 300 | |a XII, 280 p. |b online resource. | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
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| 490 | 1 | |a Universitext, |x 2191-6675 | |
| 505 | 0 | |a 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. | |
| 520 | |a 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. | ||
| 650 | 0 | |a Social sciences-Mathematics. | |
| 650 | 0 | |a Probabilities. | |
| 650 | 0 | |a Differential equations. | |
| 650 | 0 | |a Mathematical optimization. | |
| 650 | 0 | |a Calculus of variations. | |
| 650 | 1 | 4 | |a Mathematics in Business, Economics and Finance. |
| 650 | 2 | 4 | |a Probability Theory. |
| 650 | 2 | 4 | |a Differential Equations. |
| 650 | 2 | 4 | |a Calculus of Variations and Optimization. |
| 700 | 1 | |a Chassagneux, Jean-François. |e author. |4 aut |4 http://id.loc.gov/vocabulary/relators/aut | |
| 710 | 2 | |a SpringerLink (Online service) | |
| 773 | 0 | |t Springer Nature eBook | |
| 776 | 0 | 8 | |i Printed edition: |z 9783319389882 |
| 776 | 0 | 8 | |i Printed edition: |z 9783319389899 |
| 830 | 0 | |a Universitext, |x 2191-6675 | |
| 856 | 4 | 0 | |u https://doi.uam.elogim.com/10.1007/978-3-319-38990-5 |z Texto Completo |
| 912 | |a ZDB-2-SMA | ||
| 912 | |a ZDB-2-SXMS | ||
| 950 | |a Mathematics and Statistics (SpringerNature-11649) | ||
| 950 | |a Mathematics and Statistics (R0) (SpringerNature-43713) | ||