Hedging And Pricing With L2 Convex Risk Measures In Incomplete Markets

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Seminar on Stochastic Analysis, Random Fields and Applications VI

Author : Robert Dalang
Publisher : Springer Science & Business Media
ISBN 13 : 3034800215
Total Pages : 487 pages
Book Rating : 4.0/5 (348 download)

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Book Synopsis Seminar on Stochastic Analysis, Random Fields and Applications VI by : Robert Dalang

Download or read book Seminar on Stochastic Analysis, Random Fields and Applications VI written by Robert Dalang and published by Springer Science & Business Media. This book was released on 2011-03-16 with total page 487 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume contains refereed research or review papers presented at the 6th Seminar on Stochastic Processes, Random Fields and Applications, which took place at the Centro Stefano Franscini (Monte Verità) in Ascona, Switzerland, in May 2008. The seminar focused mainly on stochastic partial differential equations, especially large deviations and control problems, on infinite dimensional analysis, particle systems and financial engineering, especially energy markets and climate models. The book will be a valuable resource for researchers in stochastic analysis and professionals interested in stochastic methods in finance.

Abstracts of Papers Presented to the American Mathematical Society

Author : American Mathematical Society
Publisher :
ISBN 13 :
Total Pages : 754 pages
Book Rating : 4.E/5 ( download)

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Book Synopsis Abstracts of Papers Presented to the American Mathematical Society by : American Mathematical Society

Download or read book Abstracts of Papers Presented to the American Mathematical Society written by American Mathematical Society and published by . This book was released on 2007 with total page 754 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Stochastic Control

Author : Chris Myers
Publisher : BoD – Books on Demand
ISBN 13 : 9533071214
Total Pages : 663 pages
Book Rating : 4.5/5 (33 download)

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Book Synopsis Stochastic Control by : Chris Myers

Download or read book Stochastic Control written by Chris Myers and published by BoD – Books on Demand. This book was released on 2010-08-17 with total page 663 pages. Available in PDF, EPUB and Kindle. Book excerpt: Uncertainty presents significant challenges in the reasoning about and controlling of complex dynamical systems. To address this challenge, numerous researchers are developing improved methods for stochastic analysis. This book presents a diverse collection of some of the latest research in this important area. In particular, this book gives an overview of some of the theoretical methods and tools for stochastic analysis, and it presents the applications of these methods to problems in systems theory, science, and economics.

Swing Pricing and Fragility in Open-end Mutual Funds

Author : Dunhong Jin
Publisher : International Monetary Fund
ISBN 13 : 1513519492
Total Pages : 46 pages
Book Rating : 4.5/5 (135 download)

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Book Synopsis Swing Pricing and Fragility in Open-end Mutual Funds by : Dunhong Jin

Download or read book Swing Pricing and Fragility in Open-end Mutual Funds written by Dunhong Jin and published by International Monetary Fund. This book was released on 2019-11-01 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: How to prevent runs on open-end mutual funds? In recent years, markets have observed an innovation that changed the way open-end funds are priced. Alternative pricing rules (known as swing pricing) adjust funds’ net asset values to pass on funds’ trading costs to transacting shareholders. Using unique data on investor transactions in U.K. corporate bond funds, we show that swing pricing eliminates the first-mover advantage arising from the traditional pricing rule and significantly reduces redemptions during stress periods. The positive impact of alternative pricing rules on fund flows reverses in calm periods when costs associated with higher tracking error dominate the pricing effect.

Mathematical Finance

Author : Michael Kohlmann
Publisher : Birkhäuser
ISBN 13 : 3034882912
Total Pages : 373 pages
Book Rating : 4.0/5 (348 download)

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Book Synopsis Mathematical Finance by : Michael Kohlmann

Download or read book Mathematical Finance written by Michael Kohlmann and published by Birkhäuser. This book was released on 2012-12-06 with total page 373 pages. Available in PDF, EPUB and Kindle. Book excerpt: The year 2000 is the centenary year of the publication of Bachelier's thesis which - together with Harry Markovitz Ph. D. dissertation on portfolio selection in 1952 and Fischer Black's and Myron Scholes' solution of an option pricing problem in 1973 - is considered as the starting point of modern finance as a mathematical discipline. On this remarkable anniversary the workshop on mathematical finance held at the University of Konstanz brought together practitioners, economists and mathematicians to discuss the state of the art. Apart from contributions to the known discrete, Brownian, and Lvy process models, first attempts to describe a market in a reasonable way by a fractional Brownian motion model are presented, opening many new aspects for practitioners and new problems for mathematicians. As most dynamical financial problems are stochastic filtering or control problems many talks presented adaptations of control methods and techniques to the classical financial problems in portfolio selection irreversible investment risk sensitive asset allocation capital asset pricing hedging contingent claims option pricing interest rate theory. The contributions of practitioners link the theoretical results to the steadily increasing flow of real world problems from financial institutions into mathematical laboratories. The present volume reflects this exchange of theoretical and applied results, methods and techniques that made the workshop a fruitful contribution to the interdisciplinary work in mathematical finance.

Applied Conic Finance

Author : Dilip Madan
Publisher : Cambridge University Press
ISBN 13 : 1316776778
Total Pages : 205 pages
Book Rating : 4.3/5 (167 download)

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Book Synopsis Applied Conic Finance by : Dilip Madan

Download or read book Applied Conic Finance written by Dilip Madan and published by Cambridge University Press. This book was released on 2016-10-13 with total page 205 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a comprehensive introduction to the brand new theory of conic finance, also referred to as the two-price theory, which determines bid and ask prices in a consistent and fundamentally motivated manner. Whilst theories of one price classically eliminate all risk, the concept of acceptable risks is critical to the foundations of the two-price theory which sees risk elimination as typically unattainable in a modern financial economy. Practical examples and case studies provide the reader with a comprehensive introduction to the fundamentals of the theory, a variety of advanced quantitative models, and numerous real-world applications, including portfolio theory, option positioning, hedging, and trading contexts. This book offers a quantitative and practical approach for readers familiar with the basics of mathematical finance to allow them to boldly go where no quant has gone before.

Energy and Power Risk Management

Author : Alexander Eydeland
Publisher : John Wiley & Sons
ISBN 13 : 0471455873
Total Pages : 506 pages
Book Rating : 4.4/5 (714 download)

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Book Synopsis Energy and Power Risk Management by : Alexander Eydeland

Download or read book Energy and Power Risk Management written by Alexander Eydeland and published by John Wiley & Sons. This book was released on 2003-02-03 with total page 506 pages. Available in PDF, EPUB and Kindle. Book excerpt: Praise for Energy and Power Risk Management "Energy and Power Risk Management identifies and addresses the key issues in the development of the turbulent energy industry and the challenges it poses to market players. An insightful and far-reaching book written by two renowned professionals." -Helyette Geman, Professor of Finance University Paris Dauphine and ESSEC "The most up-to-date and comprehensive book on managing energy price risk in the natural gas and power markets. An absolute imperative for energy traders and energy risk management professionals." -Vincent Kaminski, Managing Director Citadel Investment Group LLC "Eydeland and Wolyniec's work does an excellent job of outlining the methods needed to measure and manage risk in the volatile energy market." -Gerald G. Fleming, Vice President, Head of East Power Trading, TXU Energy Trading "This book combines academic rigor with real-world practicality. It is a must-read for anyone in energy risk management or asset valuation." -Ron Erd, Senior Vice President American Electric Power

SIAM Journal on Control and Optimization

Author : Society for Industrial and Applied Mathematics
Publisher :
ISBN 13 :
Total Pages : 1042 pages
Book Rating : 4.X/5 (6 download)

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Book Synopsis SIAM Journal on Control and Optimization by : Society for Industrial and Applied Mathematics

Download or read book SIAM Journal on Control and Optimization written by Society for Industrial and Applied Mathematics and published by . This book was released on 2000 with total page 1042 pages. Available in PDF, EPUB and Kindle. Book excerpt: Contains research articles on the mathematics and applications of control theory and on those parts of optimization theory concerned with the dynamics of deterministic or stochastic systems in continuous or discrete time or otherwise dealing with differential equations, dynamics, infinite-dimensional spaces, or fundamental issues in variational analysis and geometry.

Liquidity and Asset Prices

Author : Yakov Amihud
Publisher : Now Publishers Inc
ISBN 13 : 1933019123
Total Pages : 109 pages
Book Rating : 4.9/5 (33 download)

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Book Synopsis Liquidity and Asset Prices by : Yakov Amihud

Download or read book Liquidity and Asset Prices written by Yakov Amihud and published by Now Publishers Inc. This book was released on 2006 with total page 109 pages. Available in PDF, EPUB and Kindle. Book excerpt: Liquidity and Asset Prices reviews the literature that studies the relationship between liquidity and asset prices. The authors review the theoretical literature that predicts how liquidity affects a security's required return and discuss the empirical connection between the two. Liquidity and Asset Prices surveys the theory of liquidity-based asset pricing followed by the empirical evidence. The theory section proceeds from basic models with exogenous holding periods to those that incorporate additional elements of risk and endogenous holding periods. The empirical section reviews the evidence on the liquidity premium for stocks, bonds, and other financial assets.

European Congress of Mathematics

Author : Carles Casacuberta
Publisher : Birkhäuser
ISBN 13 : 3034882688
Total Pages : 611 pages
Book Rating : 4.0/5 (348 download)

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Book Synopsis European Congress of Mathematics by : Carles Casacuberta

Download or read book European Congress of Mathematics written by Carles Casacuberta and published by Birkhäuser. This book was released on 2012-12-06 with total page 611 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is the first volume of the proceedings of the third European Congress of Mathematics. Volume I presents the speeches delivered at the Congress, the list of lectures, and short summaries of the achievements of the prize winners as well as papers by plenary and parallel speakers. The second volume collects articles by prize winners and speakers of the mini-symposia. This two-volume set thus gives an overview of the state of the art in many fields of mathematics and is therefore of interest to every professional mathematician. Contributors: R. Ahlswede, V. Bach, V. Baladi, J. Bruna, N. Burq, X. Cabré, P.J. Cameron, Z. Chatzidakis, C. Ciliberto, G. Dal Maso, J. Denef, R. Dijkgraaf, B. Fantechi, H. Föllmer, A.B. Goncharov, A. Grigor'yan, M. Harris, R. Iturriaga, K. Johansson, K. Khanin, P. Koskela, H.W. Lenstra, Jr., F. Loeser, Y.I. Manin, N.S. Manton, Y. Meyer, I. Moerdijk, E.M. Opdam, T. Peternell, B.M.A.G. Piette, A. Reznikov, H. Schlichtkrull, B. Schmidt, K. Schmidt, C. Simó, B. Tóth, E. van den Ban, M.-F. Vignéras, O. Viro.

Equity-Linked Life Insurance

Author : Alexander Melnikov
Publisher : CRC Press
ISBN 13 : 1482240270
Total Pages : 213 pages
Book Rating : 4.4/5 (822 download)

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Book Synopsis Equity-Linked Life Insurance by : Alexander Melnikov

Download or read book Equity-Linked Life Insurance written by Alexander Melnikov and published by CRC Press. This book was released on 2017-09-07 with total page 213 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book focuses on the application of the partial hedging approach from modern math finance to equity-linked life insurance contracts. It provides an accessible, up-to-date introduction to quantifying financial and insurance risks. The book also explains how to price innovative financial and insurance products from partial hedging perspectives. Each chapter presents the problem, the mathematical formulation, theoretical results, derivation details, numerical illustrations, and references to further reading.

Handbook of Financial Risk Management

Author : Thierry Roncalli
Publisher : CRC Press
ISBN 13 : 1351385224
Total Pages : 1430 pages
Book Rating : 4.3/5 (513 download)

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Book Synopsis Handbook of Financial Risk Management by : Thierry Roncalli

Download or read book Handbook of Financial Risk Management written by Thierry Roncalli and published by CRC Press. This book was released on 2020-04-23 with total page 1430 pages. Available in PDF, EPUB and Kindle. Book excerpt: Developed over 20 years of teaching academic courses, the Handbook of Financial Risk Management can be divided into two main parts: risk management in the financial sector; and a discussion of the mathematical and statistical tools used in risk management. This comprehensive text offers readers the chance to develop a sound understanding of financial products and the mathematical models that drive them, exploring in detail where the risks are and how to manage them. Key Features: Written by an author with both theoretical and applied experience Ideal resource for students pursuing a master’s degree in finance who want to learn risk management Comprehensive coverage of the key topics in financial risk management Contains 114 exercises, with solutions provided online at www.crcpress.com/9781138501874

Arbitrage Theory in Continuous Time

Author : Tomas Björk
Publisher : OUP Oxford
ISBN 13 : 0191610291
Total Pages : 600 pages
Book Rating : 4.1/5 (916 download)

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Book Synopsis Arbitrage Theory in Continuous Time by : Tomas Björk

Download or read book Arbitrage Theory in Continuous Time written by Tomas Björk and published by OUP Oxford. This book was released on 2009-08-06 with total page 600 pages. Available in PDF, EPUB and Kindle. Book excerpt: The third edition of this popular introduction to the classical underpinnings of the mathematics behind finance continues to combine sound mathematical principles with economic applications. Concentrating on the probabilistic theory of continuous arbitrage pricing of financial derivatives, including stochastic optimal control theory and Merton's fund separation theory, the book is designed for graduate students and combines necessary mathematical background with a solid economic focus. It includes a solved example for every new technique presented, contains numerous exercises, and suggests further reading in each chapter. In this substantially extended new edition Bjork has added separate and complete chapters on the martingale approach to optimal investment problems, optimal stopping theory with applications to American options, and positive interest models and their connection to potential theory and stochastic discount factors. More advanced areas of study are clearly marked to help students and teachers use the book as it suits their needs.

Mathematical Methods for Financial Markets

Author : Monique Jeanblanc
Publisher : Springer Science & Business Media
ISBN 13 : 1846287375
Total Pages : 754 pages
Book Rating : 4.8/5 (462 download)

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Book Synopsis Mathematical Methods for Financial Markets by : Monique Jeanblanc

Download or read book Mathematical Methods for Financial Markets written by Monique Jeanblanc and published by Springer Science & Business Media. This book was released on 2009-10-03 with total page 754 pages. Available in PDF, EPUB and Kindle. Book excerpt: Mathematical finance has grown into a huge area of research which requires a large number of sophisticated mathematical tools. This book simultaneously introduces the financial methodology and the relevant mathematical tools in a style that is mathematically rigorous and yet accessible to practitioners and mathematicians alike. It interlaces financial concepts such as arbitrage opportunities, admissible strategies, contingent claims, option pricing and default risk with the mathematical theory of Brownian motion, diffusion processes, and Lévy processes. The first half of the book is devoted to continuous path processes whereas the second half deals with discontinuous processes. The extensive bibliography comprises a wealth of important references and the author index enables readers quickly to locate where the reference is cited within the book, making this volume an invaluable tool both for students and for those at the forefront of research and practice.

Statistics of Financial Markets

Author : Jürgen Franke
Publisher : Springer Science & Business Media
ISBN 13 : 9783540216759
Total Pages : 454 pages
Book Rating : 4.2/5 (167 download)

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Book Synopsis Statistics of Financial Markets by : Jürgen Franke

Download or read book Statistics of Financial Markets written by Jürgen Franke and published by Springer Science & Business Media. This book was released on 2004 with total page 454 pages. Available in PDF, EPUB and Kindle. Book excerpt: Extreme Value Theory (EVT), GARCH MODELS, Hypothesis Testing, Fitting Probability Distributions to Risk Factors and Portfolios.

Advances in Futures and Options Research

Author : Phelim P. Boyle
Publisher : JAI Press Incorporated
ISBN 13 : 9780762303267
Total Pages : 280 pages
Book Rating : 4.3/5 (32 download)

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Book Synopsis Advances in Futures and Options Research by : Phelim P. Boyle

Download or read book Advances in Futures and Options Research written by Phelim P. Boyle and published by JAI Press Incorporated. This book was released on 1999-11-22 with total page 280 pages. Available in PDF, EPUB and Kindle. Book excerpt: Part of a series which focuses on advances in futures and options research, this title discusses a variety of topics in the field.

Stochastic Finance

Author : Hans Föllmer
Publisher : Walter de Gruyter GmbH & Co KG
ISBN 13 : 3110463458
Total Pages : 608 pages
Book Rating : 4.1/5 (14 download)

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Book Synopsis Stochastic Finance by : Hans Föllmer

Download or read book Stochastic Finance written by Hans Föllmer and published by Walter de Gruyter GmbH & Co KG. This book was released on 2016-07-25 with total page 608 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is an introduction to financial mathematics. It is intended for graduate students in mathematics and for researchers working in academia and industry. The focus on stochastic models in discrete time has two immediate benefits. First, the probabilistic machinery is simpler, and one can discuss right away some of the key problems in the theory of pricing and hedging of financial derivatives. Second, the paradigm of a complete financial market, where all derivatives admit a perfect hedge, becomes the exception rather than the rule. Thus, the need to confront the intrinsic risks arising from market incomleteness appears at a very early stage. The first part of the book contains a study of a simple one-period model, which also serves as a building block for later developments. Topics include the characterization of arbitrage-free markets, preferences on asset profiles, an introduction to equilibrium analysis, and monetary measures of financial risk. In the second part, the idea of dynamic hedging of contingent claims is developed in a multiperiod framework. Topics include martingale measures, pricing formulas for derivatives, American options, superhedging, and hedging strategies with minimal shortfall risk. This fourth, newly revised edition contains more than one hundred exercises. It also includes material on risk measures and the related issue of model uncertainty, in particular a chapter on dynamic risk measures and sections on robust utility maximization and on efficient hedging with convex risk measures. Contents: Part I: Mathematical finance in one period Arbitrage theory Preferences Optimality and equilibrium Monetary measures of risk Part II: Dynamic hedging Dynamic arbitrage theory American contingent claims Superhedging Efficient hedging Hedging under constraints Minimizing the hedging error Dynamic risk measures