Neutral and indifference portfolio pricing, hedging and investing : with applications in equity and fx
This book is written for quantitative finance professionals, students, educators, and mathematically inclined individual investors. It is about some of the latest developments in pricing, hedging, and investing in incomplete markets. With regard to pricing, two frameworks are fully elaborated: neutr...
সংরক্ষণ করুন:
| প্রধান লেখক: | |
|---|---|
| বিন্যাস: | Livre numérique |
| ভাষা: | Anglais |
| প্রকাশিত: |
New York, NY :
Springer New York
[20..].
Cham : Springer Nature |
| সংস্করন: | 1st ed. 2012. |
| বিষয়গুলি: | |
| অনলাইন ব্যবহার করুন: | Accès sur la plateforme de l'éditeur Accès sur la plateforme Istex Accès Université d'Orléans Accès INSA CVL |
| টীকা: |
Description d'après consultation du 19 avril 2012 Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| Autres localisations: | Voir dans le Sudoc |
| Edition sous un autre format: | • Neutral and Indifference Portfolio Pricing, Hedging and Investing, Texte imprimé, 9780387714172 |
| LEADER | 04289nam a22004337a 4500 | ||
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| 100 | 1 | |a Stojanovic, Srdjan. | |
| 245 | 1 | 0 | |a Neutral and indifference portfolio pricing, hedging and investing : |b with applications in equity and fx |c Srdjan Stojanovic. |
| 250 | |a 1st ed. 2012. | ||
| 260 | |a New York, NY : |b Springer New York. | ||
| 260 | |a Cham : |b Springer Nature, |c [20..]. | ||
| 500 | |a Description d'après consultation du 19 avril 2012 | ||
| 500 | |a Archives Springer e-books (Licence nationale) | ||
| 500 | |a Archives Springer e-books (Licence nationale) | ||
| 504 | |a Bibliogr. p. 257-258. Index | ||
| 505 | 1 | |a Preface Background Material Simple economies complete and incomplete markets Investment Portfolio Optimization.-Pricing: Neutral and Indifference Hedging Equity Valuation and Investing FX Rates and FX Derivatives Appendix References.- | |
| 506 | |a Accès en ligne pour les établissements français bénéficiaires des licences nationales | ||
| 506 | |a Accès soumis à abonnement pour tout autre établissement | ||
| 506 | |a Conditions particulières de réutilisation pour les bénéficiaires des licences nationales. https://www.licencesnationales.fr/springer-nature-ebooks-contrat-licence-ln-2017 | ||
| 520 | |a This book is written for quantitative finance professionals, students, educators, and mathematically inclined individual investors. It is about some of the latest developments in pricing, hedging, and investing in incomplete markets. With regard to pricing, two frameworks are fully elaborated: neutral and indifference pricing. With regard to hedging, the most conservative and relaxed hedging formulas are derived. With regard to investing, the neutral pricing methodology is also considered as a tool for connecting market asset prices with optimal positions in such assets. While there are many books on the financial mathematics of incomplete markets based on probability, and equivalent martingale measure approach to pricing, this book is based solely on the analytical aspects of stochastic control, or more precisely, portfolio optimization. Namely, relying solely on portfolio optimization, neutral and indifference pricing as well as hedging methodologies were fully developed in the context of arbitrary diffusive Markovian market models and portfolios of contracts. That was made possible by some recent discoveries, the most specific one being a recently found matrix inverse the fundamental matrix of derivatives pricing and hedging. This approach, while very general, is very feasible for practical implementations. So, many examples are fully derived. The reader will get the full understanding of the relationship between neutral and indifference pricing, how to implement either one of these pricing methodologies, how to implement hedging methodologies, and how to apply all these in equity portfolio valuations and foreign exchange. Srdjan D. Stojanovic is Professor in the Department of Mathematical Sciences at University of Cincinnati (USA) and Professor in the Center for Financial Engineering at Suzhou University (China) | ||
| 650 | |a Équations aux dérivées partielles | ||
| 650 | |a Finances | ||
| 650 | |a Informatique |x Mathématiques | ||
| 760 | 0 | |t Mathematics and Statistics | |
| 776 | 0 | |t Neutral and Indifference Portfolio Pricing, Hedging and Investing |b Texte imprimé |z 9780387714172 | |
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| 856 | 4 | |5 180339901:75397116X |u https://ezproxy.insa-cvl.fr/login?qurl=https://dx.doi.org/10.1007/978-0-387-71418-9 |z Accès INSA CVL | |
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