Neutral and Indifference Portfolio Pricing, Hedging and Investing With applications in Equity and FX - encuadernado, tapa blanda

EAN (ISBN-13): 9780387714172
ISBN (ISBN-10): 0387714170
Tapa dura
Tapa blanda
Año de publicación: 20110910
Editorial: Srdjan Stojanovic
263 Páginas
Peso: 0,547 kg
Idioma: Englisch

Libro en la base de datos desde 2011-08-07T01:49:48-05:00 (Mexico City)
Página de detalles modificada por última vez el 2024-01-25T17:02:57-06:00 (Mexico City)
ISBN/EAN: 9780387714172

ISBN - escritura alterna:
0-387-71417-0, 978-0-387-71417-2
Mode alterno de escritura y términos de búsqueda relacionados:
Autor del libro: stojan, stojanov, srdjan stojanovic
Título del libro: hedging, portfolio, neutral

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Datos del la editorial

Autor: Srdjan Stojanovic
Título: Neutral and Indifference Portfolio Pricing, Hedging and Investing - With applications in Equity and FX
Editorial: Springer; Springer US
263 Páginas
Año de publicación: 2011-09-28
New York; NY; US
Impreso en
Peso: 0,588 kg
Idioma: Inglés
53,49 € (DE)
54,99 € (AT)
59,00 CHF (CH)
POD
XIV, 263 p.

BB; Quantitative Finance; Hardcover, Softcover / Wirtschaft/Allgemeines, Lexika; Angewandte Mathematik; Verstehen; Equity Valuation; FX Derivatives; Hedging; Investment Portfolio Optimization; Neutral and Indifference; quantitative finance; partial differential equations; Macroeconomics/Monetary Economics//Financial Economics; Computational Mathematics and Numerical Analysis; Partial Differential Equations; Applications of Mathematics; Mathematics in Business, Economics and Finance; Macroeconomics and Monetary Economics; Computational Mathematics and Numerical Analysis; Differential Equations; Applications of Mathematics; Wirtschaftswissenschaft, Finanzen, Betriebswirtschaft und Management; Makroökonomie; Numerische Mathematik; Differentialrechnung und -gleichungen; BC; EA

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.While there are many books on the financial mathematics of incomplete markets based on probability, and equivalent martingale measure approach to pricing, this book is based solely on the analytical aspects of stochastic control, or more precisely, portfolio optimization. Namely, relying solely on portfolio optimization, neutral and indifference pricing as well as hedging methodologies were fully developed in the context of arbitrary diffusive Markovian market models and portfolios of contracts. That was made possible by some recent discoveries, the most specific one being a recently found matrix inverse – the fundamental matrix of derivatives pricing and hedging. This approach, while very general, is very feasible for practical implementations. So, many examples are fully derived. The reader will get the full understanding of the relationship between neutral and indifference pricing, how to implement either one of these pricing methodologies, how to implement hedging methodologies, and how to apply all these in equity portfolio valuations and foreign exchange.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).