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Neutral and Indifference Portfolio Pricing, Hedging and Investing

2011-08-30 Mathematics
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Release : 2011-08-30
Genre : Mathematics
Kind : eBook
Book Rating : 189/5 ( reviews)

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Book Synopsis Neutral and Indifference Portfolio Pricing, Hedging and Investing by : Srdjan Stojanovic

Download or read book Neutral and Indifference Portfolio Pricing, Hedging and Investing written by Srdjan Stojanovic. This book was released on 2011-08-30. 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).

Neutral and Indifference Portfolio Pricing, Hedging and Investing

2011-08-31 Mathematics
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Release : 2011-08-31
Genre : Mathematics
Kind : eBook
Book Rating : 590/5 ( reviews)

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Book Synopsis Neutral and Indifference Portfolio Pricing, Hedging and Investing by : Srdjan Stojanovic

Download or read book Neutral and Indifference Portfolio Pricing, Hedging and Investing written by Srdjan Stojanovic. This book was released on 2011-08-31. 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).

Neutral and Indifference Portfolio Pricing, Hedging and Investing

2011-09-28 Mathematics
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Release : 2011-09-28
Genre : Mathematics
Kind : eBook
Book Rating : 170/5 ( reviews)

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Book Synopsis Neutral and Indifference Portfolio Pricing, Hedging and Investing by : Srdjan Stojanovic

Download or read book Neutral and Indifference Portfolio Pricing, Hedging and Investing written by Srdjan Stojanovic. This book was released on 2011-09-28. 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).

Market Neutral Strategies

2005-02-22 Business & Economics
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Release : 2005-02-22
Genre : Business & Economics
Kind : eBook
Book Rating : 445/5 ( reviews)

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Book Synopsis Market Neutral Strategies by : Bruce I. Jacobs

Download or read book Market Neutral Strategies written by Bruce I. Jacobs. This book was released on 2005-02-22. Available in PDF, EPUB and Kindle. Book excerpt: An inside view of what makes market neutral strategies tick and how they can be implemented Market neutral strategies have gained attention for their potential to deliver positive returns regardless of the direction of underlying markets. As these strategies have built a record of good performance in recent years, their benefits have become apparent. Market Neutral Strategies draws on the wisdom and experience of professional practitioners to describe strategies that are being utilized by some of today's leading institutional investors. This book provides readers with an insider's view of what makes these strategies work and how they can be implemented successfully. Topics covered include long-short equity and convertibles, fixed income and merger arbitrage; the tax and ERISA implications of market neutral investing; and the failure of two notorious "market neutral" ventures, Askin Capital Management and Long-Term Capital Management. Bruce I. Jacobs (Florham Park, NJ) and Kenneth N. Levy are cofounders and principals of Jacobs Levy Equity Management, in Florham Park, New Jersey. They are coauthors of Equity Management: Quantitative Analysis for Stock Selection. Bruce Jacobs holds a PhD in finance from the Wharton School of the University of Pennsylvania. He is also the author of Capital Ideas and Market Realities: Option Replication, Investor Behavior, and Stock Market Crashes.

Indifference Pricing

2009-01-18 Business & Economics
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Release : 2009-01-18
Genre : Business & Economics
Kind : eBook
Book Rating : 834/5 ( reviews)

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Book Synopsis Indifference Pricing by : René Carmona

Download or read book Indifference Pricing written by René Carmona. This book was released on 2009-01-18. 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

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