Neutral and Indifference Portfolio Pricing, Hedging and Investing: With Applications in Equity and Fx - Couverture rigide

Stojanovic, Srdjan

Couverture rigide

ISBN 10 : 0387714170 ISBN 13 : 9780387714172

Editeur : Springer-Verlag New York Inc., 2011

Synopsis

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.

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).

A propos du livre

Présentation de l'éditeur

Here is a general theory of risk premium, pricing and hedging of financial contracts, based on the optimal portfolio-based theory and allowing for a complete solution of problems. Coverage includes the pricing of the remaining risk in incomplete markets.

Détails de l'édition

• Éditeur: Springer-Verlag New York Inc.
• Date d'édition: 2011
• Langue: anglais
• ISBN 10: 0387714170
• ISBN 13: 9780387714172
• Reliure: Relié
• Nombre de pages: 277
• Coordonnées du fabricant: GPSR Kontakt; ProductSafety@springernature.com; ; Tiergartenstr. 17; Heidelberg; 69121; Allemagne