Neutral and Indifference Portfolio Pricing, Hedging and Investing: With applications in Equity and FX
Autor Srdjan Stojanovicen Limba Engleză Paperback – 29 noi 2014
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).
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Specificații
ISBN-13: 9781489997814
ISBN-10: 1489997814
Pagini: 280
Ilustrații: XIV, 263 p.
Dimensiuni: 155 x 235 x 15 mm
Greutate: 0.4 kg
Ediția:2012
Editura: Springer
Colecția Springer
Locul publicării:New York, NY, United States
ISBN-10: 1489997814
Pagini: 280
Ilustrații: XIV, 263 p.
Dimensiuni: 155 x 235 x 15 mm
Greutate: 0.4 kg
Ediția:2012
Editura: Springer
Colecția Springer
Locul publicării:New York, NY, United States
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Public țintă
Professional/practitionerCuprins
Preface.- Background Material.- Simple economies—complete and incomplete markets.- Investment Portfolio Optimization.-Pricing: Neutral and Indifference.- Hedging.- Equity Valuation and Investing.-
FX Rates and FX Derivatives.- Appendix.- References.-
FX Rates and FX Derivatives.- Appendix.- References.-
Textul de pe ultima copertă
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).
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).
Caracteristici
Presents a general theory of risk premium, pricing, and hedging of financial contracts that allows for a complete solution of problems Uses a practical perspective with examples relevant to the financial industry Offers new qualitative financial insights and predictions that are out of reach for standard pricing theory Written for self-study as well as for professional and academic courses