Cargando…
Indifference pricing : theory and applications /
This is the first book about the emerging field of utility indifference pricing for valuing derivatives in incomplete markets. René Carmona brings together a who's who of leading experts in the field to provide the definitive introduction for students, scholars, and researchers. Until recently...
| Clasificación: | Libro Electrónico |
|---|---|
| Otros Autores: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Princeton :
Princeton University Press,
©2009.
|
| Colección: | Princeton series in financial engineering.
|
| Temas: | |
| Acceso en línea: | Texto completo |
| Sumario: | This is the first book about the emerging field of utility indifference pricing for valuing derivatives in incomplete markets. René Carmona brings together a who's who of leading experts in the field to provide the definitive introduction for students, scholars, and researchers. Until recently, financial mathematicians and engineers developed pricing and hedging procedures that assumed complete markets. But markets are generally incomplete, and it may be impossible to hedge against all sources of randomness. Indifference Pricing offers cutting-edge procedures developed under more realistic ma. |
|---|---|
| Descripción Física: | 1 online resource (xi, 414 pages) : illustrations |
| Bibliografía: | Includes bibliographical references (pages 387-404) and indexes. |
| ISBN: | 9781400833115 1400833116 1282531433 9781282531437 9786612531439 6612531436 |