Articles liés à Model-free Hedging

9780367657963: Model-free Hedging
Couverture souple
ISBN 10 : 0367657961 ISBN 13 : 9780367657963
Editeur : Chapman and Hall/CRC, 2020

Synopsis

Model-free Hedging: A Martingale Optimal Transport Viewpoint focuses on the computation of model-independent bounds for exotic options consistent with market prices of liquid instruments such as Vanilla options. The author gives an overview of Martingale Optimal Transport, highlighting the differences between the optimal transport and its martingale counterpart. This topic is then discussed in the context of mathematical finance.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

À propos de l'auteur

Pierre Henry-Labordere works in the Global Markets Quantitative Research team at Societe Generale. He holds a Ph.D. in Theoretical Physics from Ecole Normale Superieure (Paris) and a habilitation thesis in Applied Mathematics from University Paris-Dauphine. More importantly, Pierre has a longstanding experience in tek diving, particularly mixed-gas closed-circuit rebreathers. Pierre is also professor (charge de cours) at Ecole Polytechnique and research associate at CMAP (Ecole Polytechnique). He was the recipient of the 2013 "Quant of the Year" award from Risk magazine and the 2014 Institute Louis Bachelier award for his paper on MOT written in collaboration with M. Beiglbock and F. Penkner from University of Vienna.

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
Chapman and Hall/CRC
Date d'édition
2020
Langue
anglais
ISBN 10 
0367657961
ISBN 13 
9780367657963
Reliure
Broché
Nombre de pages
190
Coordonnées du fabricant
non disponible
Personne responsable
GPSR Kontakt
gpsr@libri.de

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