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Indifference Pricing – Theory and Applications: Princeton Series in Financial Engineering

Autor Rene Carmona
en Limba Engleză Hardback – 2 feb 2009

"This book sets out to elucidate various conceptual and methodological aspects of indifference pricing, and it succeeds with flying colors. Indifference Pricing gives an interesting overview of this new field and is written in a careful, professional, and clear manner. It will be of interest to graduate student's in mathematics, finance, and economics, as well as mathematicians working in mathematical finance and quantitatively minded economists."--Gordan Zitkovic, University of Texas, Austin

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Specificații

ISBN-13: 9780691138831
ISBN-10: 0691138834
Pagini: 440
Ilustrații: 7 line illus. 3 tables.
Dimensiuni: 166 x 234 x 32 mm
Greutate: 0.73 kg
Editura: Princeton University Press
Seria Princeton Series in Financial Engineering

Locul publicării:Princeton, United States

Notă biografică

René Carmona is the Paul M. Wythes '55 Professor of Engineering and Finance in the Department of Operations Research and Financial Engineering at Princeton University. His books include Interest Rate Models and Statistical Analysis of Financial Data in S-Plus.

Descriere

Introduces the concept of indifference pricing in models of discrete time and finite state spaces where duality theory can be exploited readily. This book also discusses utility indifference pricing for diffusion models, and addresses problems of optimal design of derivatives.