Indifference Pricing : Theory and Applications /

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This is the first book about the emerging field of utility indifference pricing for valuing derivatives in incomplete markets. Rene 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,...

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Detalles Bibliográficos
Otros Autores: Carmona, R. (Rene)
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Princeton : Princeton University Press, 2009.
Colección:Book collections on Project MUSE.
Temas:
Prices > Mathematical models.
BUSINESS & ECONOMICS > Economics > Theory.
BUSINESS & ECONOMICS > Sales & Selling > Management.
Prix > Modeles mathematiques.
Tarification non lineaire > Modeles mathematiques.
Nonlinear pricing > Mathematical models.
Electronic books.
Acceso en línea:Texto completo
Descripción
Sumario:This is the first book about the emerging field of utility indifference pricing for valuing derivatives in incomplete markets. Rene 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 (440 pages): illustrations
ISBN:9781400833115

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