The Resource Fundamentals and Advanced Techniques in Derivatives Hedging, by Bruno Bouchard, Jean-François Chassagneux, (electronic resource)

Fundamentals and Advanced Techniques in Derivatives Hedging, by Bruno Bouchard, Jean-François Chassagneux, (electronic resource)

Label
Fundamentals and Advanced Techniques in Derivatives Hedging
Title
Fundamentals and Advanced Techniques in Derivatives Hedging
Statement of responsibility
by Bruno Bouchard, Jean-François Chassagneux
Creator
Contributor
Author
Provider
Subject
Language
eng
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. Graduate students in applied mathematics with an understanding of probability theory and stochastic calculus will find this book useful to gain a deeper understanding of fundamental concepts and methods in mathematical finance
Member of
http://library.link/vocab/creatorName
Bouchard, Bruno
Image bit depth
0
LC call number
HB135-147
Literary form
non fiction
http://library.link/vocab/relatedWorkOrContributorName
  • Chassagneux, Jean-François.
  • SpringerLink
Series statement
Universitext,
http://library.link/vocab/subjectName
  • Mathematics
  • Partial differential equations
  • Economics, Mathematical
  • Calculus of variations
  • Probabilities
  • Mathematics
  • Quantitative Finance
  • Probability Theory and Stochastic Processes
  • Partial Differential Equations
  • Calculus of Variations and Optimal Control; Optimization
Label
Fundamentals and Advanced Techniques in Derivatives Hedging, by Bruno Bouchard, Jean-François Chassagneux, (electronic resource)
Instantiates
Publication
Antecedent source
mixed
Carrier category
online resource
Carrier category code
cr
Carrier MARC source
rdacarrier
Color
not applicable
Content category
text
Content type code
txt
Content type MARC source
rdacontent
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
Dimensions
unknown
Extent
XII, 280 p.
File format
multiple file formats
Form of item
electronic
Isbn
9783319389905
Level of compression
uncompressed
Media category
computer
Media MARC source
rdamedia
Media type code
c
Other control number
10.1007/978-3-319-38990-5
Other physical details
online resource.
Quality assurance targets
absent
Reformatting quality
access
Specific material designation
remote
System control number
(DE-He213)978-3-319-38990-5
Label
Fundamentals and Advanced Techniques in Derivatives Hedging, by Bruno Bouchard, Jean-François Chassagneux, (electronic resource)
Publication
Antecedent source
mixed
Carrier category
online resource
Carrier category code
cr
Carrier MARC source
rdacarrier
Color
not applicable
Content category
text
Content type code
txt
Content type MARC source
rdacontent
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
Dimensions
unknown
Extent
XII, 280 p.
File format
multiple file formats
Form of item
electronic
Isbn
9783319389905
Level of compression
uncompressed
Media category
computer
Media MARC source
rdamedia
Media type code
c
Other control number
10.1007/978-3-319-38990-5
Other physical details
online resource.
Quality assurance targets
absent
Reformatting quality
access
Specific material designation
remote
System control number
(DE-He213)978-3-319-38990-5

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