Cantitate/Preț
Produs
Total produse
Vezi coșul
Model-free Hedging: A Martingale Optimal Transport Viewpoint de Pierre Henry-Labordere

Model-free Hedging: A Martingale Optimal Transport Viewpoint: Chapman and Hall/CRC Financial Mathematics Series

Autor Pierre Henry-Labordere
en Limba Engleză Paperback – 30 sep 2020
Model-free Hedging: A Martingale Optimal Transport Viewpoint focuses on the computation of model-independent bounds for exotic options consistent with market prices of liquid instruments such as Vanilla options. The author gives an overview of Martingale Optimal Transport, highlighting the differences between the optimal transport and its martingale counterpart. This topic is then discussed in the context of mathematical finance.
Citește tot Restrânge

Din seria Chapman and Hall/CRC Financial Mathematics Series

  • 9% Quantitative Finance with Python: A Practical Guide to Investment Management, Trading, and Financial Engineering
    Preț: 70411 lei
  • 20% Introduction to Financial Derivatives with Python
    Preț: 50840 lei
  • 9% Financial Modelling with Jump Processes
    Preț: 76641 lei
  • Introduction to Stochastic Calculus Applied to Finance
    Preț: 34173 lei
  • A Technical Guide to Mathematical Finance
    Preț: 40185 lei
  • 9% Nonlinear Option Pricing
    Preț: 121355 lei
  • 8% Introducing Financial Mathematics: Theory, Binomial Models, and Applications
    Preț: 54853 lei
  • 8% Stochastic Modelling of Big Data in Finance
    Preț: 54738 lei
  • 8% Foundations of Quantitative Finance, Book VI: Densities, Transformed Distributions, and Limit Theorems
    Preț: 53205 lei
  • 8% Financial Mathematics: A Comprehensive Treatment in Discrete Time
    Preț: 41054 lei
  • 8% Machine Learning for Factor Investing: Python Version
    Preț: 48958 lei
  • 9% Sustainable Life Insurance: Managing Risk Appetite for Insurance Savings and Retirement Products
    Preț: 66119 lei
  • 9% Introduction to Credit Risk Modeling
    Preț: 121209 lei
  • 9% Risk Measures and Insurance Solvency Benchmarks: Fixed-Probability Levels in Renewal Risk Models
    Preț: 83351 lei
  • 8% Foundations of Quantitative Finance: Book V General Measure and Integration Theory
    Preț: 43895 lei
  • 9% Pricing Models of Volatility Products and Exotic Variance Derivatives
    Preț: 73100 lei
  • 9% Stochastic Volatility Modeling
    Preț: 60638 lei
  • 9% Introduction to Stochastic Finance with Market Examples
    Preț: 64109 lei
  • Malliavin Calculus in Finance: Theory and Practice
    Preț: 35663 lei
  • 9% Financial Mathematics: From Discrete to Continuous Time
    Preț: 59534 lei
  • Modeling Fixed Income Securities and Interest Rate Options
    Preț: 34236 lei
  • 8% Computational Methods in Finance
    Preț: 46952 lei
  • 9% Quantitative Equity Portfolio Management: Modern Techniques and Applications
    Preț: 73464 lei
  • 8% Handbook of Price Impact Modeling
    Preț: 54680 lei
  • Derivative Pricing: A Problem-Based Primer
    Preț: 40241 lei
  • 12% Portfolio Rebalancing
    Preț: 31319 lei
  • 26% Unravelling the Credit Crunch
    Preț: 101474 lei
  • 12% An Introduction to Computational Risk Management of Equity-Linked Insurance
    Preț: 31243 lei
  • 26% Understanding Risk: The Theory and Practice of Financial Risk Management
    Preț: 101474 lei
  • Counterparty Risk and Funding: A Tale of Two Puzzles
    Preț: 43296 lei
  • Metamodeling for Variable Annuities
    Preț: 43296 lei
  • C++ for Financial Mathematics
    Preț: 35663 lei
  • 15% Data Science and Risk Analytics in Finance and Insurance
    Preț: 59553 lei
  • 18% An Introduction to Financial Mathematics: Option Valuation
    Preț: 77792 lei
  • 15% Foundations of Quantitative Finance, Book I: Measure Spaces and Measurable Functions
    Preț: 56651 lei
  • 18% Analysis, Geometry, and Modeling in Finance: Advanced Methods in Option Pricing
    Preț: 127099 lei
  • 9% The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making
    Preț: 59456 lei
  • 21% American-Style Derivatives: Valuation and Computation
    Preț: 38228 lei
  • 24% Commodities: Fundamental Theory of Futures, Forwards, and Derivatives Pricing
    Preț: 90085 lei
  • 26% Financial Modelling in Commodity Markets
    Preț: 76378 lei
  • 20% High-Performance Computing in Finance: Problems, Methods, and Solutions
    Preț: 127880 lei
  • 25% Handbook of Financial Risk Management
    Preț: 143838 lei

Preț: 32382 lei

Preț vechi: 37094 lei
-13% Nou

Puncte Express: 486
Preț estimativ în valută:
6201€ • 6389$ • 5203£

Carte tipărită la comandă

Livrare economică 21 februarie-07 martie

 Adaugă în coș

Wish list
Gift list
Am citit!
Adaugă în listă
Preluare comenzi: 021 569.72.76

Specificații

ISBN-13: 9780367657963
ISBN-10: 0367657961
Pagini: 204
Dimensiuni: 156 x 234 x 25 mm
Greutate: 0.38 kg
Ediția:1
Editura: CRC Press
Colecția Chapman and Hall/CRC
Seria Chapman and Hall/CRC Financial Mathematics Series

Cuprins

Pricing and Hedging without Tears. Martingale Optimal Transport. Model-independent Otions. Continuous-time MOT and Skorokhod Embedding. References.

Notă biografică

Pierre Henry-Labordere works in the Global Markets Quantitative Research team at Societe Generale. He holds a Ph.D. in Theoretical Physics from Ecole Normale Superieure (Paris) and a habilitation thesis in Applied Mathematics from University Paris-Dauphine. More importantly, Pierre has a longstanding experience in tek diving, particularly mixed-gas closed-circuit rebreathers. Pierre is also professor (charge de cours) at Ecole Polytechnique and research associate at CMAP (Ecole Polytechnique). He was the recipient of the 2013 "Quant of the Year" award from Risk magazine and the 2014 Institute Louis Bachelier award for his paper on MOT written in collaboration with M. Beiglbock and F. Penkner from University of Vienna.

Descriere

Model-free Hedging: A Martingale Optimal Transport Viewpoint focuses on the computation of model-independent bounds for exotic options consistent with market prices of liquid instruments such as Vanilla options. The author gives an overview of Martingale Optimal Transport, highlighting the differences between the optimal transpo