語系:
繁體中文
English
說明(常見問題)
圖資館首頁
登入
回首頁
切換:
標籤
|
MARC模式
|
ISBD
Hedging derivatives
~
Rheinlander, Thorsten.
Hedging derivatives
紀錄類型:
書目-電子資源 : Monograph/item
正題名/作者:
Hedging derivativesThorsten Rheinlander, Jenny Sexton.
作者:
Rheinlander, Thorsten.
其他作者:
Sexton, Jenny.
出版者:
Singapore ;World Scientific Pub. Co.,c2011.
面頁冊數:
x, 234 p.
標題:
Hedging (Finance)Mathematical models.
電子資源:
http://www.worldscientific.com/worldscibooks/10.1142/8062#t=toc
ISBN:
9789814338806 (electronic bk.)
Hedging derivatives
Rheinlander, Thorsten.
Hedging derivatives
[electronic resource] /Thorsten Rheinlander, Jenny Sexton. - Singapore ;World Scientific Pub. Co.,c2011. - x, 234 p.
Includes bibliographical references (p. 221-229) and index.
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.
Electronic reproduction.
Singapore :
World Scientific Publishing Co.,
2011.
System requirements: Adobe Acrobat Reader.
ISBN: 9789814338806 (electronic bk.)Subjects--Topical Terms:
575946
Hedging (Finance)
--Mathematical models.
LC Class. No.: HG6024.A3 / .R517 2011
Dewey Class. No.: 332.6457
Hedging derivatives
LDR
:02360nmm a2200277 a 4500
001
345800
003
WSP
005
20110629122616.0
006
m d
007
cr cuu|||uu|||
008
121106s2011 si sb 001 0 eng d
020
$a
9789814338806 (electronic bk.)
020
$z
9814338796
020
$z
9789814338790
035
$a
00001376
040
$a
WSPC
$b
eng
$c
WSPC
050
0 0
$a
HG6024.A3
$b
.R517 2011
082
0 4
$a
332.6457
$2
22
100
1
$a
Rheinlander, Thorsten.
$3
575944
245
1 0
$a
Hedging derivatives
$h
[electronic resource] /
$c
Thorsten Rheinlander, Jenny Sexton.
260
$a
Singapore ;
$a
Hackensack, N.J. :
$b
World Scientific Pub. Co.,
$c
c2011.
300
$a
x, 234 p.
504
$a
Includes bibliographical references (p. 221-229) and index.
520
$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.
533
$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.
650
0
$a
Hedging (Finance)
$x
Mathematical models.
$3
575946
650
0
$a
Derivative securities
$x
Valuation
$x
Mathematical models.
$3
182969
700
1
$a
Sexton, Jenny.
$3
575945
710
2
$a
World Scientific (Firm)
$3
575130
776
1
$z
9814338796
776
1
$z
9789814338790
856
4 0
$u
http://www.worldscientific.com/worldscibooks/10.1142/8062#t=toc
筆 0 讀者評論
全部
電子館藏
館藏
1 筆 • 頁數 1 •
1
條碼號
館藏地
館藏流通類別
資料類型
索書號
使用類型
借閱狀態
預約狀態
備註欄
附件
000000075048
電子館藏
1圖書
電子書
EB HG6024.A3 R517 2011 c2011
一般使用(Normal)
在架
0
1 筆 • 頁數 1 •
1
多媒體
多媒體檔案
http://www.worldscientific.com/worldscibooks/10.1142/8062#t=toc
評論
新增評論
分享你的心得
Export
取書館別
處理中
...
變更密碼
登入