Fundamentals and advanced techniques in derivatives hedging. (2016)

• Record Type: Book
• Uniform Title: Valorisation des produits dérivés.
• Further Information: Note: Bruno Bouchard, Jean-François Chassagneux.
• Authors: Bouchard, Bruno; Chassagneux, Jean-François
• 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.
• Publisher Details: Switzerland : Springer
• Publication Date: 2016
• Extent: 1 online resource (xii, 280 pages)
• Subjects: 330.01/5195; Mathematics; Business mathematics; Derivatives (Mathematics); Economics, Mathematical; Business mathematics; Derivatives (Mathematics); Economics, Mathematical; Mathematics -- Probability & Statistics -- General; Mathematics -- Differential Equations; Mathematics -- Calculus; Probability & statistics; Differential calculus & equations; Calculus of variations; Finance; Distribution (Probability theory); Differential equations, partial; Mathematical optimization; Mathematics -- Applied; Finance & accounting; Electronic books
• Languages: English
• ISBNs: 9783319389905; 3319389904; 3319389882; 9783319389882
• Related ISBNs: 9783319389882
• Notes: Note: Includes bibliographical references and indexes.; Note: Online resource; title from PDF title page (SpringerLink, viewed July 5, 2016).
• Access Rights: Legal Deposit; Only available on premises controlled by the deposit library and to one user at any one time; The Legal Deposit Libraries (Non-Print Works) Regulations (UK).
• Access Usage: Restricted: Printing from this resource is governed by The Legal Deposit Libraries (Non-Print Works) Regulations (UK) and UK copyright law currently in force.