Fundamentals and Advanced Techniques in Derivatives Hedging
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...
| Main Authors: | , |
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| Format: | eBook |
| Language: | English |
| Published: |
Cham
Springer International Publishing
2016, 2016
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| Edition: | 1st ed. 2016 |
| Series: | Universitext
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| Subjects: | |
| Online Access: | |
| Collection: | Springer eBooks 2005- - Collection details see MPG.ReNa |
Table of Contents:
- Part A. Fundamental theorems
- Discrete time models
- Continuous time models
- Optimal management and price selection.- Part B. Markovian models and PDE approach
- Delta hedging in complete market
- Super-replication and its practical limits
- Hedging under loss contraints.- Part C. Practical implementation in local and stochastic volatility models
- Local volatility models
- Stochastic volatility models
- References