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Indifference Pricing: Theory and Applications: Theory and Applications by Carmona, René is a nonfiction available to read on EtoBox.

What is Indifference Pricing: Theory and Applications: Theory and Applications about?

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,

Who reads Indifference Pricing: Theory and Applications: Theory and Applications?

Author

Carmona, René

Publisher

Carmona, René, Princeton University Press

Published

2008

Language

EN

ISBN

9786612531439

Category

nonfiction

Subjects

Finance, Economics, Management