Authors:
- 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
Part of the book series: Universitext (UTX)
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Table of contents (8 chapters)
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Front Matter
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Fundamental Theorems
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Front Matter
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Markovian Models and PDE Approach
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Front Matter
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Practical Implementation in Local and Stochastic Volatility Models
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Front Matter
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Back Matter
About this book
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.
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Authors and Affiliations
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Université Paris Dauphine, Paris, France
Bruno Bouchard
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Université Paris Diderot, Paris, France
Jean-François Chassagneux
About the authors
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.
Bibliographic Information
Book Title: Fundamentals and Advanced Techniques in Derivatives Hedging
Authors: Bruno Bouchard, Jean-François Chassagneux
Series Title: Universitext
DOI: https://doi.org/10.1007/978-3-319-38990-5
Publisher: Springer Cham
eBook Packages: Mathematics and Statistics, Mathematics and Statistics (R0)
Copyright Information: Springer International Publishing Switzerland 2016
Softcover ISBN: 978-3-319-38988-2Published: 01 July 2016
eBook ISBN: 978-3-319-38990-5Published: 23 June 2016
Series ISSN: 0172-5939
Series E-ISSN: 2191-6675
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
Topics: Quantitative Finance, Probability Theory and Stochastic Processes, Partial Differential Equations, Calculus of Variations and Optimal Control; Optimization