Indifference Pricing

Author : René Carmona
Publisher : Princeton University Press
ISBN 13 : 0691138834
Total Pages : 427 pages
Book Rating : 4.31/5 ( download)

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Download or read book Indifference Pricing written by René Carmona and published by Princeton University Press. This book was released on 2009-01-18 with total page 427 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is the first book about the emerging field of utility indifference pricing for valuing derivatives in incomplete markets. René Carmona brings together a who's who of leading experts in the field to provide the definitive introduction for students, scholars, and researchers. Until recently, financial mathematicians and engineers developed pricing and hedging procedures that assumed complete markets. But markets are generally incomplete, and it may be impossible to hedge against all sources of randomness. Indifference Pricing offers cutting-edge procedures developed under more realistic market assumptions. The book begins by introducing the concept of indifference pricing in the simplest possible models of discrete time and finite state spaces where duality theory can be exploited readily. It moves into a more technical discussion of utility indifference pricing for diffusion models, and then addresses problems of optimal design of derivatives by extending the indifference pricing paradigm beyond the realm of utility functions into the realm of dynamic risk measures. Focus then turns to the applications, including portfolio optimization, the pricing of defaultable securities, and weather and commodity derivatives. The book features original mathematical results and an extensive bibliography and indexes. In addition to the editor, the contributors are Pauline Barrieu, Tomasz R. Bielecki, Nicole El Karoui, Robert J. Elliott, Said Hamadène, Vicky Henderson, David Hobson, Aytac Ilhan, Monique Jeanblanc, Mattias Jonsson, Anis Matoussi, Marek Musiela, Ronnie Sircar, John van der Hoek, and Thaleia Zariphopoulou. The first book on utility indifference pricing Explains the fundamentals of indifference pricing, from simple models to the most technical ones Goes beyond utility functions to analyze optimal risk transfer and the theory of dynamic risk measures Covers non-Markovian and partially observed models and applications to portfolio optimization, defaultable securities, static and quadratic hedging, weather derivatives, and commodities Includes extensive bibliography and indexes Provides essential reading for PhD students, researchers, and professionals

Author : Srdjan Stojanovic
Publisher : Springer Science & Business Media
ISBN 13 : 0387714170
Total Pages : 274 pages
Book Rating : 4.72/5 ( download)

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Download or read book Neutral and Indifference Portfolio Pricing, Hedging and Investing written by Srdjan Stojanovic and published by Springer Science & Business Media. This book was released on 2011-09-28 with total page 274 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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. 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).

Author : Arthur C. Helton
Publisher : OUP Oxford
ISBN 13 : 0191037524
Total Pages : 328 pages
Book Rating : 4.28/5 ( download)

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Download or read book The Price of Indifference written by Arthur C. Helton and published by OUP Oxford. This book was released on 2002-03-07 with total page 328 pages. Available in PDF, EPUB and Kindle. Book excerpt: Refugee policy has failed frequently over the past decade, resulting in instability, terrible hardships and loss of life. This book is the first effort to review systematically the recent past and re-design policy to give fresh answers to old problems. Specific recommendations are made to re-conceive refugee policy to be more proactive and comprehensive as well as to re-organize how policy is formulated within and among governments. Refugee policy has not kept pace with new realities in international and humanitarian affairs. Recent policy failures have resulted in instability, terrible hardships, and massive loss of life. This book systematically analyzes refugee policy responses over the past decade, and calls for specific reforms to make policy more proactive and comprehensive. Refugee policy must be more than the administration of misery. Responses should be calculated to help prevent or mitigate future humanitarian catastrophes. More international cooperation is needed in advance of crises. Humanitarian structures within governments, notably the United States, as well as the wide variety of international institutions involved in humanitarian action must be re-oriented to cope with new challenges.

Author : Srdjan Stojanovic
Publisher : Springer Science & Business Media
ISBN 13 : 0387714189
Total Pages : 274 pages
Book Rating : 4.89/5 ( download)

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Download or read book Neutral and Indifference Portfolio Pricing, Hedging and Investing written by Srdjan Stojanovic and published by Springer Science & Business Media. This book was released on 2011-08-30 with total page 274 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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. 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).

Author : Fred Espen Benth
Publisher : World Scientific
ISBN 13 : 9814401862
Total Pages : 256 pages
Book Rating : 4.69/5 ( download)

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Download or read book Modeling and Pricing in Financial Markets for Weather Derivatives written by Fred Espen Benth and published by World Scientific. This book was released on 2012-10-04 with total page 256 pages. Available in PDF, EPUB and Kindle. Book excerpt: Weather derivatives provide a tool for weather risk management, and the markets for these exotic financial products are gradually emerging in size and importance. This unique monograph presents a unified approach to the modeling and analysis of such weather derivatives, including financial contracts on temperature, wind and rain. Based on a deep statistical analysis of weather factors, sophisticated stochastic processes are introduced modeling the time and space dynamics. Applying ideas from the modern theory of mathematical finance, weather derivatives are priced, and questions of hedging analyzed. The treatise contains an in-depth analysis of typical weather contracts traded at the Chicago Mercantile Exchange (CME), including so-called CDD and HDD futures. The statistical analysis of weather variables is based on a large data set from Lithuania. The monograph includes the research done by the authors over the last decade on weather markets. Their work has gained considerable attention, and has been applied in many contexts. Contents:Financial Markets for WeatherStatistics of Weather:Data Description and Exploratory AnalysisSpatial-Temporal ModellingWeather Derivatives:Continuous-Time Models for Temperature and Wind SpeedPricing of Forward Contracts on Temperature and Wind SpeedExtensions of Temperature and Wind Speed ModelsOptions on Temperature and WindPrecipitation DerivativesUtility-Based Approaches to Pricing Weather Derivatives Readership: Researchers in mathematical/quantitative finance, environmental/energy economics. Keywords:Weather Derivatives;Stochastic Processes;HDD;CDD;Autoregressive Moving Average Time Series;Futures Contracts;Options;Utility Pricing;Girsanov Transform;Esscher Transform;Precipitation;Temperature;Wind SpeedKey Features:A rigorous stochastic modeling of weather factors like temperature, wind and rain based on continuous-time autoregressive processes and Lévy processesPricing of weather derivatives like futures and options based on modern mathematical finance theoryThis book is unique in combining sophisticated stochastic models with the modern theory of mathematical finance to weather derivatives. It provides a unified approach to weather marketsReviews: "The monograph will also be useful for those dealing with energy markets, agriculture, insurance and financial engineering, and will stimulate further research in this important direction." Anatoliy Swishchuk University of Calgary

Author : Christian Gollier
Publisher : Princeton University Press
ISBN 13 : 0691148767
Total Pages : 244 pages
Book Rating : 4.62/5 ( download)

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Download or read book Pricing the Planet's Future written by Christian Gollier and published by Princeton University Press. This book was released on 2013 with total page 244 pages. Available in PDF, EPUB and Kindle. Book excerpt: Today, the judge, the citizen, the politician, and the entrepreneur are concerned with the sustainability of our development.

Author : Jan Kallsen
Publisher : Springer
ISBN 13 : 3319458752
Total Pages : 496 pages
Book Rating : 4.55/5 ( download)

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Download or read book Advanced Modelling in Mathematical Finance written by Jan Kallsen and published by Springer. This book was released on 2016-12-01 with total page 496 pages. Available in PDF, EPUB and Kindle. Book excerpt: This Festschrift resulted from a workshop on “Advanced Modelling in Mathematical Finance” held in honour of Ernst Eberlein’s 70th birthday, from 20 to 22 May 2015 in Kiel, Germany. It includes contributions by several invited speakers at the workshop, including several of Ernst Eberlein’s long-standing collaborators and former students. Advanced mathematical techniques play an ever-increasing role in modern quantitative finance. Written by leading experts from academia and financial practice, this book offers state-of-the-art papers on the application of jump processes in mathematical finance, on term-structure modelling, and on statistical aspects of financial modelling. It is aimed at graduate students and researchers interested in mathematical finance, as well as practitioners wishing to learn about the latest developments.

Author : Charles E. Scott
Publisher : Indiana University Press
ISBN 13 : 0253117038
Total Pages : 184 pages
Book Rating : 4.38/5 ( download)

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Download or read book Living with Indifference written by Charles E. Scott and published by Indiana University Press. This book was released on 2007-05-18 with total page 184 pages. Available in PDF, EPUB and Kindle. Book excerpt: Living with Indifference is about the dimension of life that is utterly neutral, without care, feeling, or personality. In this provocative work that is anything but indifferent, Charles E. Scott explores the ways people have spoken and thought about indifference. Exploring topics such as time, chance, beauty, imagination, violence, and virtue, Scott shows how affirming indifference can be beneficial, and how destructive consequences can occur when we deny it. Scott's preoccupation with indifference issues a demand for focused attention in connection with personal values, ethics, and beliefs. This elegantly argued book speaks to the positive value of diversity and a world that is open to human passion.

Author : Gary Indiana
Publisher : MIT Press
ISBN 13 : 1635901081
Total Pages : 345 pages
Book Rating : 4.85/5 ( download)

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Download or read book Depraved Indifference written by Gary Indiana and published by MIT Press. This book was released on 2020-01-07 with total page 345 pages. Available in PDF, EPUB and Kindle. Book excerpt: The third of Gary Indiana's famed crime trilogy tells a story inspired by the virtuoso con artistry of mother-and-son criminals Sante and Kenneth Kimes. She collected future marks like lottery tickets. She operated by reflex. Any public room was a pristine harvest of human information. Not just business cards, phone numbers, fax numbers and the like, but weaknesses, quirks, character flaws, delusional ambitions, risky dreams, medical problems, shaky marriages. Everybody came equipped with a panel of invisible buttons.... If you had the right touch, if you knew how to press one button lightly and another button with a bit more force, you could make the emotional side of a person swing up and down as you wished. —from Depraved Indifference First published in 2001, Depraved Indifference is the third of Gary Indiana's famed crime trilogy now being reissued by Semiotext(e). Inspired by the virtuoso con artistry of mother-and-son criminals Sante and Kenneth Kimes, Depraved Indifference follows Evangeline Slote, a dead ringer for Elizabeth Taylor “so compulsive she grifts herself when she runs out of other people” through the circus of calamity that her compulsions invoke. Evangeline, or “Evelyn Carson, “Princess Shah Shah,” among other pseudonyms, accompanied by her alcoholic husband Warren and fanatically devoted son Devin, moves from Las Vegas to Hawaii to Nassau in a maelstrom of forgery and fraud that constantly threatens to come undone. When Warren dies, Evangeline and her son embark upon an ever more brazen series of grifts, frauds, and crimes. Thriving on chaos, a master of manipulation and seduction, Evangeline concocts the scheme to end all schemes—which may take a murder to complete. Reminiscent of Nathanael West's The Day of the Locust, Indiana's scathing, insightful prose is a mirror to the empty landscape of American culture.

Author : Matthias Ehrhardt
Publisher : Springer
ISBN 13 : 3319612824
Total Pages : 606 pages
Book Rating : 4.29/5 ( download)

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Download or read book Novel Methods in Computational Finance written by Matthias Ehrhardt and published by Springer. This book was released on 2017-09-19 with total page 606 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book discusses the state-of-the-art and open problems in computational finance. It presents a collection of research outcomes and reviews of the work from the STRIKE project, an FP7 Marie Curie Initial Training Network (ITN) project in which academic partners trained early-stage researchers in close cooperation with a broader range of associated partners, including from the private sector. The aim of the project was to arrive at a deeper understanding of complex (mostly nonlinear) financial models and to develop effective and robust numerical schemes for solving linear and nonlinear problems arising from the mathematical theory of pricing financial derivatives and related financial products. This was accomplished by means of financial modelling, mathematical analysis and numerical simulations, optimal control techniques and validation of models. In recent years the computational complexity of mathematical models employed in financial mathematics has witnessed tremendous growth. Advanced numerical techniques are now essential to the majority of present-day applications in the financial industry. Special attention is devoted to a uniform methodology for both testing the latest achievements and simultaneously educating young PhD students. Most of the mathematical codes are linked into a novel computational finance toolbox, which is provided in MATLAB and PYTHON with an open access license. The book offers a valuable guide for researchers in computational finance and related areas, e.g. energy markets, with an interest in industrial mathematics.