Hedging Derivatives

Autor: Thorsten Rheinlander, Jenny Sexton

Limbă:

Legare: Copertă tare

Editura: World Scientific Publishing Co Pte Ltd

Disponibilitate: În depozitul extern

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Valuation and hedging of financial derivatives are intrinsically linked concepts. Choosing appropria...

Informații despre carte

Autor

Thorsten Rheinlander, Jenny Sexton

Limbă

engleză

Legare

Carte - Copertă tare

Publicat

2011

Pagini

244

EAN

9789814338790

ISBN

9814338796

Enbook ID

05070390

Editura

World Scientific Publishing Co Pte Ltd

Greutate

592

Dimensiuni

158 x 230 x 19

Descriere completă

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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Hedging Derivatives

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