<電子ブック>
Fundamentals and Advanced Techniques in Derivatives Hedging / by Bruno Bouchard, Jean-François Chassagneux
(Universitext. ISSN:21916675)
版 | 1st ed. 2016. |
---|---|
出版者 | Cham : Springer International Publishing : Imprint: Springer |
出版年 | 2016 |
大きさ | XII, 280 p : online resource |
著者標目 | *Bouchard, Bruno author Chassagneux, Jean-François author SpringerLink (Online service) |
件 名 | LCSH:Social sciences—Mathematics LCSH:Probabilities LCSH:Differential equations LCSH:Mathematical optimization LCSH:Calculus of variations FREE:Mathematics in Business, Economics and Finance FREE:Probability Theory FREE:Differential Equations FREE:Calculus of Variations and Optimization |
一般注記 | Part A. Fundamental theorems -- Discrete time models -- Continuous time models -- Optimal management and price selection.- Part B. Markovian models and PDE approach -- Delta hedging in complete market -- Super-replication and its practical limits -- Hedging under loss contraints.- Part C. Practical implementation in local and stochastic volatility models -- Local volatility models -- Stochastic volatility models -- References This book covers the theory of derivatives pricing and hedging as well as techniques used in mathematical finance. The authors use a top-down approach, starting with fundamentals before moving to applications, and present theoretical developments alongside various exercises, providing many examples of practical interest. A large spectrum of concepts and mathematical tools that are usually found in separate monographs are presented here. In addition to the no-arbitrage theory in full generality, this book also explores models and practical hedging and pricing issues. Fundamentals and Advanced Techniques in Derivatives Hedging further introduces advanced methods in probability and analysis, including Malliavin calculus and the theory of viscosity solutions, as well as the recent theory of stochastic targets and its use in risk management, making it the first textbook covering this topic. Graduate students in applied mathematics with an understanding of probability theory and stochastic calculus will find this book useful to gain a deeper understanding of fundamental concepts and methods in mathematical finance HTTP:URL=https://doi.org/10.1007/978-3-319-38990-5 |
目次/あらすじ
所蔵情報を非表示
電子ブック | 配架場所 | 資料種別 | 巻 次 | 請求記号 | 状 態 | 予約 | コメント | ISBN | 刷 年 | 利用注記 | 指定図書 | 登録番号 |
---|---|---|---|---|---|---|---|---|---|---|---|---|
電子ブック | オンライン | 電子ブック |
|
|
Springer eBooks | 9783319389905 |
|
電子リソース |
|
EB00202178 |
類似資料
この資料の利用統計
このページへのアクセス回数:3回
※2017年9月4日以降