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...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autores principales: Bouchard, Bruno (Autor), Chassagneux, Jean-François (Autor)
Autor Corporativo: SpringerLink (Online service)
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Cham : Springer International Publishing : Imprint: Springer, 2016.
Edición:1st ed. 2016.
Colección:Universitext,
Temas:
Social sciences-Mathematics.
Probabilities.
Differential equations.
Mathematical optimization.
Calculus of variations.
Mathematics in Business, Economics and Finance.
Probability Theory.
Differential Equations.
Calculus of Variations and Optimization.
Acceso en línea:Texto Completo
Tabla de Contenidos:
  • 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.

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