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Hedging derivatives /
Valuation and hedging of financial derivatives are intrinsically linked concepts. Choosing appropriate hedging techniques depends on both the type of derivative and assumptions placed on the underlying stochastic process. This volume provides a systematic treatment of hedging in incomplete markets....
| Cote: | Libro Electrónico |
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| Auteur principal: | |
| Autres auteurs: | |
| Format: | Électronique eBook |
| Langue: | Inglés |
| Publié: |
New Jersey :
World Scientific,
2011.
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| Collection: | Advanced series on statistical science & applied probability ;
v. 15. |
| Sujets: | |
| Accès en ligne: | Texto completo |
| Résumé: | Valuation and hedging of financial derivatives are intrinsically linked concepts. Choosing appropriate hedging techniques depends on both the type of derivative and assumptions placed on the underlying stochastic process. This volume provides a systematic treatment of hedging in incomplete markets. Mean-variance hedging under the risk-neutral measure is applied in the framework of exponential Lévy processes and for derivatives written on defaultable assets. It is discussed how to complete markets based upon stochastic volatility models via trading in both stocks and vanilla options. Exponentia. |
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| Description matérielle: | 1 online resource (233 pages) |
| Bibliographie: | Includes bibliographical references and index. |
| ISBN: | 9789814338806 981433880X 1283433656 9781283433655 |