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Indifference Pricing: Theory and Applications
René Carmona (Ed.)
€ 164.27
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Description for Indifference Pricing: Theory and Applications
Hardback. Introduces the concept of indifference pricing in models of discrete time and finite state spaces where duality theory can be exploited readily. This book also discusses utility indifference pricing for diffusion models, and addresses problems of optimal design of derivatives. Editor(s): Carmona, Rene. Series: Princeton Series in Financial Engineering. Num Pages: 440 pages, 7 line illus. 3 tables. BIC Classification: KCA; KFF. Category: (P) Professional & Vocational; (U) Tertiary Education (US: College). Dimension: 229 x 152 x 33. Weight in Grams: 730.
This is the first book about the emerging field of utility indifference pricing for valuing derivatives in incomplete markets. Rene 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 ... Read more
This is the first book about the emerging field of utility indifference pricing for valuing derivatives in incomplete markets. Rene 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 ... Read more
Product Details
Format
Hardback
Publication date
2009
Publisher
Princeton University Press United States
Number of pages
440
Condition
New
Series
Princeton Series in Financial Engineering
Number of Pages
440
Place of Publication
New Jersey, United States
ISBN
9780691138831
SKU
V9780691138831
Shipping Time
Usually ships in 15 to 20 working days
Ref
99-15
About René Carmona (Ed.)
Rene Carmona is the Paul M. Wythes '55 Professor of Engineering and Finance in the Department of Operations Research and Financial Engineering at Princeton University. His books include "Interest Rate Models and Statistical Analysis of Financial Data in S-Plus".
Reviews for Indifference Pricing: Theory and Applications
"This book sets out to elucidate various conceptual and methodological aspects of indifference pricing, and it succeeds with flying colors. Indifference Pricing gives an interesting overview of this new field and is written in a careful, professional, and clear manner. It will be of interest to graduate student's in mathematics, finance, and economics, as well as mathematicians working in mathematical ... Read more