Overview
Presents a general theory of risk premium, pricing, and hedging of financial contracts that allows for a complete solution of problems
Uses a practical perspective with examples relevant to the financial industry
Offers new qualitative financial insights and predictions that are out of reach for standard pricing theory
Written for self-study as well as for professional and academic courses
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Table of contents (8 chapters)
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Front Matter
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Back Matter
Keywords
About this book
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).
Authors and Affiliations
Bibliographic Information
Book Title: Neutral and Indifference Portfolio Pricing, Hedging and Investing
Book Subtitle: With applications in Equity and FX
Authors: Srdjan Stojanovic
DOI: https://doi.org/10.1007/978-0-387-71418-9
Publisher: Springer New York, NY
eBook Packages: Mathematics and Statistics, Mathematics and Statistics (R0)
Copyright Information: Springer Science+Business Media, LLC 2012
Hardcover ISBN: 978-0-387-71417-2Published: 28 September 2011
Softcover ISBN: 978-1-4899-9781-4Published: 29 November 2014
eBook ISBN: 978-0-387-71418-9Published: 30 August 2011
Edition Number: 1
Number of Pages: XIV, 263
Topics: Quantitative Finance, Macroeconomics/Monetary Economics//Financial Economics, Computational Mathematics and Numerical Analysis, Partial Differential Equations, Applications of Mathematics