Fundamentals and Advanced Techniques in Derivatives Hedging

By Bruno Bouchard and Jean-Francois Chassagneux

Part A. Fundamental theorems.- Discrete time models.- Continuous time models.- Optimal management and price selection.- Part B. Markovian models and PDE approach.- Delta hedging in complete market.- Super-replication and its practical limits.- Hedging under loss contraints.- Part C. Practical implementation in local and stochastic volatility models.- Local volatility models.- Stochastic volatility models.- References.

• Format: Paperback
• Language: English
• ISBN: 3319389882
• ISBN13: 9783319389882
• Release Date: July 2016
• Publisher: Springer
• Length: 280 Pages
• Weight: 0.91 lbs.
• Dimensions: 0.6" x 6.1" x 9.2"