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110629s2011 si sb 001 0 eng d |
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|a 9789814338806 (electronic bk.)
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|z 9814338796
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|a 332.6457
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|a Rheinlander, Thorsten.
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|a Hedging derivatives
|c Thorsten Rheinlander, Jenny Sexton.
|h [electronic resource] /
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|a Singapore ;
|a Hackensack, N.J. :
|b World Scientific Pub. Co.,
|c c2011.
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| 300 |
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|a x, 234 p.
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|a Includes bibliographical references (p. 221-229) and index.
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|a 1. Introduction. 1.1. Hedging in complete markets. 1.2. Hedging in incomplete markets. 1.3. Notes and further reading -- 2. Stochastic calculus. 2.1. Filtrations and martingales. 2.2. Semi-martingales and stochastic integrals. 2.3. Kunita-Watanabe decomposition. 2.4 Change of measure. 2.5. Stochastic exponentials. 2.6. Notes and further reading -- 3. Arbitrage and completeness. 3.1. Strategies and arbitrage. 3.2. Complete markets. 3.3. Hidden arbitrage and local times. 3.4. Immediate arbitrage. 3.5. Super-hedging and the optional decomposition theorem. 3.6. Arbitrage via a non-equivalent measure change. 3.7. Notes and further reading -- 4. Asset price models. 4.1. Exponential Levy processes. 4.2. Stochastic volatility models. 4.3. Notes and further reading -- 5. Static hedging. 5.1. Static hedging of European claims. 5.2. Duality principle in option pricing. 5.3. Symmetry and self-dual processes. 5.4. Notes and further reading -- 6. Mean-variance hedging. 6.1. Concept of mean-variance hedging. 6.2. Valuation and hedging by the Laplace method. 6.3. Valuation and hedging via integro-differential equations. 6.4. Mean-variance hedging of defaultable assets. 6.5. Quadratic risk-minimisation for payment streams. 6.6. Notes and further reading -- 7. Entropic valuation and hedging. 7.1. Exponential utility indiffence pricing. 7.2. The minimal entropy martingale measure. 7.3. Duality results. 7.4. Properties of the utility indifference price. 7.5. Entropic hedging. 7.6. Notes and further reading -- 8. Hedging constraints. 8.1. Framework and preliminaries. 8.2. Dynamic utility indifference pricing. 8.3. Martingale optimality principle. 8.4. Utility indifference hedging and pricing using BSDEs. 8.5. Examples in Brownian markets. 8.6. Connection to the minimal entropy measure in the unconstrained case. 8.7. Notes and further reading. 9. Optimal martingale measures. 9.1. Esscher measure. 9.2. Minimal entropy martingale measure. 9.3. Variance-optimal martingale measure. 9.4. q-optimal martingale measure. 9.5. Minimal martingale measure. 9.6. Notes and further reading.
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|a 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 Levy 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. Exponential utility indifference pricing is explored via a duality with entropy minimization. Backward stochastic differential equations offer an alternative approach and are moreover applied to study markets with trading constraints including basis risk. A range of optimal martingale measures are discussed including the entropy, Esscher and minimal martingale measures. Quasi-symmetry properties of stochastic processes are deployed in the semi-static hedging of barrier options. This book is directed towards both graduate students and researchers in mathematical finance, and will also provide an orientation to applied mathematicians, financial economists and practitioners wishing to explore recent progress in this field.
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| 533 |
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|a Electronic reproduction.
|b Singapore :
|c World Scientific Publishing Co.,
|d 2011.
|n System requirements: Adobe Acrobat Reader.
|n Mode of access: World Wide Web.
|n Available to subscribing institutions.
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| 650 |
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|a Hedging (Finance)
|x Mathematical models.
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|a Derivative securities
|x Valuation
|x Mathematical models.
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|a Electronic books.
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|a Sexton, Jenny.
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| 710 |
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|a World Scientific (Firm)
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|z 9789814338790
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|z View fulltext via EzAccess
|u https://ezaccess.library.uitm.edu.my/login?url=http://www.worldscientific.com/worldscibooks/10.1142/8062#t=toc
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