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Fundamentals and Advanced Techniques in Derivatives Hedging

Posted By: Underaglassmoon
Fundamentals and Advanced Techniques in Derivatives Hedging

Fundamentals and Advanced Techniques in Derivatives Hedging
Springer | Mathematics | July 25, 2016 | ISBN-10: 3319389882 | 258 pages | pdf | 2.47 mb

Authors: Bouchard, Bruno, Chassagneux, Jean-François
Presents the various mathematical techniques used in mathematical finance in a single volume
Treats both theoretical aspects and practical applications
Includes a chapter on stochastic targets and risk-based pricing techniques


This book covers the theory of derivatives pricing and hedging as well as techniques used in mathematical finance. The authors use a top-down approach, starting with fundamentals before moving to applications, and present theoretical developments alongside various exercises, providing many examples of practical interest.A large spectrum of concepts and mathematical tools that are usually found in separate monographs are presented here. In addition to the no-arbitrage theory in full generality, this book also explores models and practical hedging and pricing issues. Fundamentals and Advanced Techniques in Derivatives Hedging further introduces advanced methods in probability and analysis, including Malliavin calculus and the theory of viscosity solutions, as well as the recent theory of stochastic targets and its use in risk management, making it the first textbook covering this topic.
Graduate students in applied mathematics with an understanding of probability theory and stochastic calculus will find this book useful to gain a deeper understanding of fundamental concepts and methods in mathematical finance.

Additional Information
This book was originally published in French as “Valorisation de Produits Derives" (Economica 2014)
Topics
Quantitative Finance
Probability Theory and Stochastic Processes
Partial Differential Equations
Calculus of Variations and Optimal Control; Optimization

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