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Universitext

Fundamentals and Advanced Techniques in Derivatives Hedging

Authors: Bouchard, Bruno, Chassagneux, Jean-François

  • Presents the various mathematical techniques used in mathematical finance in a single volume
  • Treats both theoretical aspects and practical applications
  • Includes a chapter on stochastic targets and risk-based pricing techniques
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eBook $39.99
price for USA (gross)
  • ISBN 978-3-319-38990-5
  • Digitally watermarked, DRM-free
  • Included format: PDF, EPUB
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover $49.99
price for USA
  • ISBN 978-3-319-38988-2
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
About this Textbook

This book covers the theory of derivatives pricing and hedging as well as techniques used in mathematical finance. The authors use a top-down approach, starting with fundamentals before moving to applications, and present theoretical developments alongside various exercises, providing many examples of practical interest.A large spectrum of concepts and mathematical tools that are usually found in separate monographs are presented here. In addition to the no-arbitrage theory in full generality, this book also explores models and practical hedging and pricing issues. Fundamentals and Advanced Techniques in Derivatives Hedging further introduces advanced methods in probability and analysis, including Malliavin calculus and the theory of viscosity solutions, as well as the recent theory of stochastic targets and its use in risk management, making it the first textbook covering this topic.
Graduate students in applied mathematics with an understanding of probability theory and stochastic calculus will find this book useful to gain a deeper understanding of fundamental concepts and methods in mathematical finance.

About the authors

Bruno Bouchard is Professor of Mathematics at Université Paris-Dauphine. He is a renowned specialist in mathematical finance and stochastic control. He has been teaching arbitrage theory, option hedging techniques and stochastic control for more than ten years at French universities and engineering schools.   
Jean-François Chassagneux is a professor at the Department of Mathematics at Université Paris Diderot. He specialises in non-linear pricing methods and associated numerical techniques. He has been teaching mathematical finance for many years at several institutions: Ecole Nationale de la Statistique et de l’Administration Economique, Université d’Evry, Imperial College London and Université Paris Diderot.

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Table of contents (8 chapters)

  • Discrete Time Models

    Bouchard, Bruno (et al.)

    Pages 3-53

  • Continuous Time Models

    Bouchard, Bruno (et al.)

    Pages 55-106

  • Optimal Management and Price Selection

    Bouchard, Bruno (et al.)

    Pages 107-124

  • Delta Hedging in Complete Market

    Bouchard, Bruno (et al.)

    Pages 127-165

  • Super-Replication and Its Practical Limits

    Bouchard, Bruno (et al.)

    Pages 167-191

Buy this book

eBook $39.99
price for USA (gross)
  • ISBN 978-3-319-38990-5
  • Digitally watermarked, DRM-free
  • Included format: PDF, EPUB
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover $49.99
price for USA
  • ISBN 978-3-319-38988-2
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
Fundamentals and Advanced Techniques in Derivatives Hedging
Authors
Series Title
Universitext
Copyright
2016
Publisher
Springer International Publishing
Copyright Holder
The Editor(s) (if applicable) and The Author(s) 2018
eBook ISBN
978-3-319-38990-5
DOI
10.1007/978-3-319-38990-5
Softcover ISBN
978-3-319-38988-2
Series ISSN
0172-5939
Edition Number
1
Number of Pages
XII, 280
Additional Information
This book was originally published in French as “Valorisation de Produits Derives" (Economica 2014) http://www.economica.fr/livre-valorisation-des-produits-derives,fr,4,9782717866742.cfm
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