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Fundamentals and advanced techniques in derivatives hedging

By: Bouchard, Bruno.
Contributor(s): Chassagneux, Jean-Francois.
Material type: materialTypeLabelBookSeries: Universitext. Publisher: Paris Springer 2016Description: xii, 280 p.ISBN: 9783319389882.Subject(s): Discrete time models | Optimal management - Price selection | Delta hedgingDDC classification: 330.015195 Summary: 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. http://www.springer.com/gp/book/9783319389882
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Slot 504 (0 Floor, West Wing) Non-fiction 330.015195 B6F8 (Browse shelf) Available 193948

Table of Contents:

1. Discrete Time Models
2. Continuous Time Models
3. Optimal Management and Price Selection
4. Delta Hedging in Complete Market
5. Super-Replication and Its Practical Limits
6. Hedging Under Loss Constraints
7. Local Volatility Models
8. Stochastic Volatility Models

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.

http://www.springer.com/gp/book/9783319389882

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