Synopsis
Static hedge portfolios for barrier options are very sensitive with respect to changes of the volatility surface. To prevent potentially significant hedging losses this book develops a static super-replication strategy with market-typical robustness against volatility, skew and liquidity risk as well as model errors. Empirical results and various numerical examples confirm that the static superhedge successfully eliminates the risk of a changing volatility surface. Combined with associated sub-replication strategies this leads to robust price bounds for barrier options which are also relevant in the context of dynamic hedging. The mathematical techniques used to prove appropriate existence, duality and convergence results range from financial mathematics, stochastic and semi-infinite optimization, convex analysis and partial differential equations to semidefinite programming.
Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.
À propos de l?auteur
Jan H. Maruhn, UniCredit Markets & Investment Banking, Munich, Germany.
Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.
Autres éditions populaires du même titre
Résultats de recherche pour Robust Static Super-Replication of Barrier Options
Image fournie par le vendeur
Robust Static Super-Replication of Barrier Options
Vendeur : SKULIMA Wiss. Versandbuchhandlung, Westhofen, Allemagne
Évaluation du vendeur 5 sur 5 étoiles
Etat : Neu. Static hedge portfolios for barrier options are very sensitive with respect to changes of the volatility surface. To prevent potentially significant hedging losses this book develops a static super-replication strategy with market-typical robustness against volatility, skew and liquidity risk as well as model errors. Combined with associated sub-replication strategies this leads to empirically robust price bounds for barrier options which are also relevant in the context of dynamic hedging. XII,197 Seiten, gebunden (Walter de Gruyter Verlag 2009). Statt EUR 179,95. Gewicht: 480 g - Gebunden/Gebundene Ausgabe. N° de réf. du vendeur 86836
Acheter neuf
EUR 29,95
Frais de port :
EUR 40
De Allemagne vers Etats-Unis
Quantité disponible : 2 disponible(s)
Image fournie par le vendeur
Robust Static Super-Replication of Barrier Options
Edité par
De Gruyter, De Gruyter Jul 2009, 2009
ISBN 10 : 3110204681
ISBN 13 : 9783110204681
Neuf
Couverture rigide
Vendeur : BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, Allemagne
Évaluation du vendeur 5 sur 5 étoiles
Buch. Etat : Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -Static hedge portfolios for barrier options are very sensitive with respect to changes of the volatility surface. To prevent potentially significant hedging losses this book develops a static super-replication strategy with market-typical robustness against volatility, skew and liquidity risk as well as model errors. Empirical results and various numerical examples confirm that the static superhedge successfully eliminates the risk of a changing volatility surface. Combined with associated sub-replication strategies this leads to robust price bounds for barrier options which are also relevant in the context of dynamic hedging. The mathematical techniques used to prove appropriate existence, duality and convergence results range from financial mathematics, stochastic and semi-infinite optimization, convex analysis and partial differential equations to semidefinite programming. 212 pp. Englisch. N° de réf. du vendeur 9783110204681
Acheter neuf
EUR 169,95
Frais de port :
EUR 23
De Allemagne vers Etats-Unis
Quantité disponible : 2 disponible(s)
Image d'archives
Robust Static Super-Replication of Barrier Options
impression à la demandeVendeur : PBShop.store US, Wood Dale, IL, Etats-Unis
Évaluation du vendeur 5 sur 5 étoiles
HRD. Etat : New. New Book. Shipped from UK. THIS BOOK IS PRINTED ON DEMAND. Established seller since 2000. N° de réf. du vendeur L1-9783110204681
Acheter neuf
EUR 193,90
Frais de port :
Gratuit
Vers Etats-Unis
Quantité disponible : Plus de 20 disponibles
Image d'archives
Robust Static Super-Replication of Barrier Options
impression à la demandeVendeur : PBShop.store UK, Fairford, GLOS, Royaume-Uni
Évaluation du vendeur 5 sur 5 étoiles
HRD. Etat : New. New Book. Delivered from our UK warehouse in 4 to 14 business days. THIS BOOK IS PRINTED ON DEMAND. Established seller since 2000. N° de réf. du vendeur L1-9783110204681
Acheter neuf
EUR 191,52
Frais de port :
EUR 5,74
De Royaume-Uni vers Etats-Unis
Quantité disponible : Plus de 20 disponibles
Image d'archives
Robust Static Super-Replication of Barrier Options (Radon Series on Computational and Applied Mathematics, 7)
Vendeur : Ria Christie Collections, Uxbridge, Royaume-Uni
Évaluation du vendeur 5 sur 5 étoiles
Etat : New. In. N° de réf. du vendeur ria9783110204681_new
Acheter neuf
EUR 184,21
Frais de port :
EUR 13,71
De Royaume-Uni vers Etats-Unis
Quantité disponible : Plus de 20 disponibles
Image fournie par le vendeur
Robust Static Super-Replication of Barrier Options
impression à la demandeVendeur : moluna, Greven, Allemagne
Évaluation du vendeur 4 sur 5 étoiles
Etat : New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. I always felt that Jan Maruhn would be the only person on the globe who knows how to statically hedge barrier options. Now I am even more pleased to see th. N° de réf. du vendeur 26739219
Acheter neuf
EUR 149,37
Frais de port :
EUR 48,99
De Allemagne vers Etats-Unis
Quantité disponible : Plus de 20 disponibles
Image fournie par le vendeur
Robust Static Super-Replication of Barrier Options
impression à la demandeVendeur : preigu, Osnabrück, Allemagne
Évaluation du vendeur 5 sur 5 étoiles
Buch. Etat : Neu. Robust Static Super-Replication of Barrier Options | Jan H. Maruhn | Buch | XII | Englisch | 2009 | De Gruyter | EAN 9783110204681 | Verantwortliche Person für die EU: Walter de Gruyter GmbH, De Gruyter GmbH, Genthiner Str. 13, 10785 Berlin, productsafety[at]degruyterbrill[dot]com | Anbieter: preigu Print on Demand. N° de réf. du vendeur 101561746
Acheter neuf
EUR 155,55
Frais de port :
EUR 70
De Allemagne vers Etats-Unis
Quantité disponible : 5 disponible(s)
Image fournie par le vendeur
Robust Static Super-Replication of Barrier Options
Edité par
De Gruyter, De Gruyter Jul 2009, 2009
ISBN 10 : 3110204681
ISBN 13 : 9783110204681
Neuf
Couverture rigide
Vendeur : buchversandmimpf2000, Emtmannsberg, BAYE, Allemagne
Évaluation du vendeur 5 sur 5 étoiles
Buch. Etat : Neu. This item is printed on demand - Print on Demand Titel. Neuware -Static hedge portfolios for barrier options are very sensitive with respect to changes of the volatility surface. To prevent potentially significant hedging losses this book develops a static super-replication strategy with market-typical robustness against volatility, skew and liquidity risk as well as model errors. Empirical results and various numerical examples confirm that the static superhedge successfully eliminates the risk of a changing volatility surface. Combined with associated sub-replication strategies this leads to robust price bounds for barrier options which are also relevant in the context of dynamic hedging. The mathematical techniques used to prove appropriate existence, duality and convergence results range from financial mathematics, stochastic and semi-infinite optimization, convex analysis and partial differential equations to semidefinite programming.Walter de Gruyter GmbH, Genthiner Strasse 13, 10785 Berlin 212 pp. Englisch. N° de réf. du vendeur 9783110204681
Acheter neuf
EUR 169,95
Frais de port :
EUR 60
De Allemagne vers Etats-Unis
Quantité disponible : 1 disponible(s)
Image fournie par le vendeur
Robust Static Super-Replication of Barrier Options
Vendeur : AHA-BUCH GmbH, Einbeck, Allemagne
Évaluation du vendeur 5 sur 5 étoiles
Buch. Etat : Neu. Druck auf Anfrage Neuware - Printed after ordering - Static hedge portfolios for barrier options are very sensitive with respect to changes of the volatility surface. To prevent potentially significant hedging losses this book develops a static super-replication strategy with market-typical robustness against volatility, skew and liquidity risk as well as model errors. Empirical results and various numerical examples confirm that the static superhedge successfully eliminates the risk of a changing volatility surface. Combined with associated sub-replication strategies this leads to robust price bounds for barrier options which are also relevant in the context of dynamic hedging. The mathematical techniques used to prove appropriate existence, duality and convergence results range from financial mathematics, stochastic and semi-infinite optimization, convex analysis and partial differential equations to semidefinite programming. N° de réf. du vendeur 9783110204681
Acheter neuf
EUR 169,95
Frais de port :
EUR 62,74
De Allemagne vers Etats-Unis
Quantité disponible : 1 disponible(s)
Image fournie par le vendeur
Robust Static Super-Replication of Barrier Options
Edité par
De Gruyter, DE, 2009
ISBN 10 : 3110204681
ISBN 13 : 9783110204681
Neuf
Couverture rigide
Edition originale
Vendeur : Rarewaves USA, OSWEGO, IL, Etats-Unis
Évaluation du vendeur 5 sur 5 étoiles
Hardback. Etat : New. 1st. Static hedge portfolios for barrier options are very sensitive with respect to changes of the volatility surface. To prevent potentially significant hedging losses this book develops a static super-replication strategy with market-typical robustness against volatility, skew and liquidity risk as well as model errors. Empirical results and various numerical examples confirm that the static superhedge successfully eliminates the risk of a changing volatility surface. Combined with associated sub-replication strategies this leads to robust price bounds for barrier options which are also relevant in the context of dynamic hedging. The mathematical techniques used to prove appropriate existence, duality and convergence results range from financial mathematics, stochastic and semi-infinite optimization, convex analysis and partial differential equations to semidefinite programming. N° de réf. du vendeur LU-9783110204681
Acheter neuf
EUR 317,57
Frais de port :
Gratuit
Vers Etats-Unis
Quantité disponible : Plus de 20 disponibles