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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 diffusiveMarkovian 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 funda

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Author

Srdjan Stojanovic

Publisher

Springer Science+Business Media, LLC

Published

2011

Language

EN

ISBN

9780387714172

Category

nonfiction

Subjects

Economics, Finance, Computer Science