Indifference Pricing

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Indifference Pricing

Author : René Carmona
Publisher : Princeton University Press
ISBN 13 : 0691138834
Total Pages : 427 pages
Book Rating : 4.6/5 (911 download)

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Book Synopsis Indifference Pricing by : René Carmona

Download or read book Indifference Pricing written by René Carmona and published by Princeton University Press. This book was released on 2009-01-18 with total page 427 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is the first book about the emerging field of utility indifference pricing for valuing derivatives in incomplete markets. René 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 of discrete time and finite state spaces where duality theory can be exploited readily. It moves into a more technical discussion of utility indifference pricing for diffusion models, and then addresses problems of optimal design of derivatives by extending the indifference pricing paradigm beyond the realm of utility functions into the realm of dynamic risk measures. Focus then turns to the applications, including portfolio optimization, the pricing of defaultable securities, and weather and commodity derivatives. The book features original mathematical results and an extensive bibliography and indexes. In addition to the editor, the contributors are Pauline Barrieu, Tomasz R. Bielecki, Nicole El Karoui, Robert J. Elliott, Said Hamadène, Vicky Henderson, David Hobson, Aytac Ilhan, Monique Jeanblanc, Mattias Jonsson, Anis Matoussi, Marek Musiela, Ronnie Sircar, John van der Hoek, and Thaleia Zariphopoulou. The first book on utility indifference pricing Explains the fundamentals of indifference pricing, from simple models to the most technical ones Goes beyond utility functions to analyze optimal risk transfer and the theory of dynamic risk measures Covers non-Markovian and partially observed models and applications to portfolio optimization, defaultable securities, static and quadratic hedging, weather derivatives, and commodities Includes extensive bibliography and indexes Provides essential reading for PhD students, researchers, and professionals

Neutral and Indifference Portfolio Pricing, Hedging and Investing

Author : Srdjan Stojanovic
Publisher : Springer Science & Business Media
ISBN 13 : 0387714170
Total Pages : 274 pages
Book Rating : 4.3/5 (877 download)

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Book Synopsis Neutral and Indifference Portfolio Pricing, Hedging and Investing by : Srdjan Stojanovic

Download or read book Neutral and Indifference Portfolio Pricing, Hedging and Investing written by Srdjan Stojanovic and published by Springer Science & Business Media. This book was released on 2011-09-28 with total page 274 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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).

Modeling and Pricing in Financial Markets for Weather Derivatives

Author : Fred Espen Benth
Publisher : World Scientific
ISBN 13 : 9814401862
Total Pages : 256 pages
Book Rating : 4.8/5 (144 download)

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Book Synopsis Modeling and Pricing in Financial Markets for Weather Derivatives by : Fred Espen Benth

Download or read book Modeling and Pricing in Financial Markets for Weather Derivatives written by Fred Espen Benth and published by World Scientific. This book was released on 2012-10-04 with total page 256 pages. Available in PDF, EPUB and Kindle. Book excerpt: Weather derivatives provide a tool for weather risk management, and the markets for these exotic financial products are gradually emerging in size and importance. This unique monograph presents a unified approach to the modeling and analysis of such weather derivatives, including financial contracts on temperature, wind and rain. Based on a deep statistical analysis of weather factors, sophisticated stochastic processes are introduced modeling the time and space dynamics. Applying ideas from the modern theory of mathematical finance, weather derivatives are priced, and questions of hedging analyzed. The treatise contains an in-depth analysis of typical weather contracts traded at the Chicago Mercantile Exchange (CME), including so-called CDD and HDD futures. The statistical analysis of weather variables is based on a large data set from Lithuania. The monograph includes the research done by the authors over the last decade on weather markets. Their work has gained considerable attention, and has been applied in many contexts. Contents:Financial Markets for WeatherStatistics of Weather:Data Description and Exploratory AnalysisSpatial-Temporal ModellingWeather Derivatives:Continuous-Time Models for Temperature and Wind SpeedPricing of Forward Contracts on Temperature and Wind SpeedExtensions of Temperature and Wind Speed ModelsOptions on Temperature and WindPrecipitation DerivativesUtility-Based Approaches to Pricing Weather Derivatives Readership: Researchers in mathematical/quantitative finance, environmental/energy economics. Keywords:Weather Derivatives;Stochastic Processes;HDD;CDD;Autoregressive Moving Average Time Series;Futures Contracts;Options;Utility Pricing;Girsanov Transform;Esscher Transform;Precipitation;Temperature;Wind SpeedKey Features:A rigorous stochastic modeling of weather factors like temperature, wind and rain based on continuous-time autoregressive processes and Lévy processesPricing of weather derivatives like futures and options based on modern mathematical finance theoryThis book is unique in combining sophisticated stochastic models with the modern theory of mathematical finance to weather derivatives. It provides a unified approach to weather marketsReviews: "The monograph will also be useful for those dealing with energy markets, agriculture, insurance and financial engineering, and will stimulate further research in this important direction." Anatoliy Swishchuk University of Calgary

Advanced Modelling in Mathematical Finance

Author : Jan Kallsen
Publisher : Springer
ISBN 13 : 3319458752
Total Pages : 496 pages
Book Rating : 4.3/5 (194 download)

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Book Synopsis Advanced Modelling in Mathematical Finance by : Jan Kallsen

Download or read book Advanced Modelling in Mathematical Finance written by Jan Kallsen and published by Springer. This book was released on 2016-12-01 with total page 496 pages. Available in PDF, EPUB and Kindle. Book excerpt: This Festschrift resulted from a workshop on “Advanced Modelling in Mathematical Finance” held in honour of Ernst Eberlein’s 70th birthday, from 20 to 22 May 2015 in Kiel, Germany. It includes contributions by several invited speakers at the workshop, including several of Ernst Eberlein’s long-standing collaborators and former students. Advanced mathematical techniques play an ever-increasing role in modern quantitative finance. Written by leading experts from academia and financial practice, this book offers state-of-the-art papers on the application of jump processes in mathematical finance, on term-structure modelling, and on statistical aspects of financial modelling. It is aimed at graduate students and researchers interested in mathematical finance, as well as practitioners wishing to learn about the latest developments.

Market-Valuation Methods in Life and Pension Insurance

Author : Thomas Møller
Publisher : Cambridge University Press
ISBN 13 : 1139462970
Total Pages : 263 pages
Book Rating : 4.1/5 (394 download)

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Book Synopsis Market-Valuation Methods in Life and Pension Insurance by : Thomas Møller

Download or read book Market-Valuation Methods in Life and Pension Insurance written by Thomas Møller and published by Cambridge University Press. This book was released on 2007-01-18 with total page 263 pages. Available in PDF, EPUB and Kindle. Book excerpt: In classical life insurance mathematics the obligations of the insurance company towards the policy holders were calculated on artificial conservative assumptions on mortality and interest rates. However, this approach is being superseded by developments in international accounting and solvency standards coupled with other advances enabling a market-based valuation of risk, i.e., its price if traded in a free market. The book describes these approaches, and is the first to explain them in conjunction with more traditional methods. The various chapters address specific aspects of market-based valuation. The exposition integrates methods and results from financial and insurance mathematics, and is based on the entries in a life insurance company's market accounting scheme. The book will be of great interest and use to students and practitioners who need an introduction to this area, and who seek a practical yet sound guide to life insurance accounting and product development.

Living with Indifference

Author : Charles E. Scott
Publisher : Indiana University Press
ISBN 13 : 0253117038
Total Pages : 184 pages
Book Rating : 4.2/5 (531 download)

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Book Synopsis Living with Indifference by : Charles E. Scott

Download or read book Living with Indifference written by Charles E. Scott and published by Indiana University Press. This book was released on 2007-05-18 with total page 184 pages. Available in PDF, EPUB and Kindle. Book excerpt: Living with Indifference is about the dimension of life that is utterly neutral, without care, feeling, or personality. In this provocative work that is anything but indifferent, Charles E. Scott explores the ways people have spoken and thought about indifference. Exploring topics such as time, chance, beauty, imagination, violence, and virtue, Scott shows how affirming indifference can be beneficial, and how destructive consequences can occur when we deny it. Scott's preoccupation with indifference issues a demand for focused attention in connection with personal values, ethics, and beliefs. This elegantly argued book speaks to the positive value of diversity and a world that is open to human passion.

Know Your Price

Author : Andre M. Perry
Publisher : Brookings Institution Press
ISBN 13 : 0815737289
Total Pages : 271 pages
Book Rating : 4.8/5 (157 download)

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Book Synopsis Know Your Price by : Andre M. Perry

Download or read book Know Your Price written by Andre M. Perry and published by Brookings Institution Press. This book was released on 2020-05-19 with total page 271 pages. Available in PDF, EPUB and Kindle. Book excerpt: The deliberate devaluation of Blacks and their communities has had very real, far-reaching, and negative economic and social effects. An enduring white supremacist myth claims brutal conditions in Black communities are mainly the result of Black people's collective choices and moral failings. “That's just how they are” or “there's really no excuse”: we've all heard those not so subtle digs. But there is nothing wrong with Black people that ending racism can't solve. We haven't known how much the country will gain by properly valuing homes and businesses, family structures, voters, and school districts in Black neighborhoods. And we need to know. Noted educator, journalist, and scholar Andre Perry takes readers on a tour of six Black-majority cities whose assets and strengths are undervalued. Perry begins in his hometown of Wilkinsburg, a small city east of Pittsburgh that, unlike its much larger neighbor, is struggling and failing to attract new jobs and industry. Bringing his own personal story of growing up in Black-majority Wilkinsburg, Perry also spotlights five others where he has deep connections: Detroit, Birmingham, New Orleans, Atlanta, and Washington, D.C. He provides an intimate look at the assets that should be of greater value to residents—and that can be if they demand it. Perry provides a new means of determining the value of Black communities. Rejecting policies shaped by flawed perspectives of the past and present, it gives fresh insights on the historical effects of racism and provides a new value paradigm to limit them in the future. Know Your Price demonstrates the worth of Black people's intrinsic personal strengths, real property, and traditional institutions. These assets are a means of empowerment and, as Perry argues in this provocative and very personal book, are what we need to know and understand to build Black prosperity.

Mathematical Finance

Author : Ernst Eberlein
Publisher : Springer Nature
ISBN 13 : 3030261069
Total Pages : 774 pages
Book Rating : 4.0/5 (32 download)

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Book Synopsis Mathematical Finance by : Ernst Eberlein

Download or read book Mathematical Finance written by Ernst Eberlein and published by Springer Nature. This book was released on 2019-12-03 with total page 774 pages. Available in PDF, EPUB and Kindle. Book excerpt: Taking continuous-time stochastic processes allowing for jumps as its starting and focal point, this book provides an accessible introduction to the stochastic calculus and control of semimartingales and explains the basic concepts of Mathematical Finance such as arbitrage theory, hedging, valuation principles, portfolio choice, and term structure modelling. It bridges thegap between introductory texts and the advanced literature in the field. Most textbooks on the subject are limited to diffusion-type models which cannot easily account for sudden price movements. Such abrupt changes, however, can often be observed in real markets. At the same time, purely discontinuous processes lead to a much wider variety of flexible and tractable models. This explains why processes with jumps have become an established tool in the statistics and mathematics of finance. Graduate students, researchers as well as practitioners will benefit from this monograph.

Turning Points of the Irish Revolution

Author : B. Grob-Fitzgibbon
Publisher : Springer
ISBN 13 : 0230604323
Total Pages : 258 pages
Book Rating : 4.2/5 (36 download)

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Book Synopsis Turning Points of the Irish Revolution by : B. Grob-Fitzgibbon

Download or read book Turning Points of the Irish Revolution written by B. Grob-Fitzgibbon and published by Springer. This book was released on 2007-05-14 with total page 258 pages. Available in PDF, EPUB and Kindle. Book excerpt: In his exploration of the use of intelligence in Ireland by the British government from the onset of the Ulster Crisis in 1912 to the end of the Irish War of Independence in 1921, Grob-Fitzgibbon analyzes the role that intelligence played during those critical nine years.

Model Rules of Professional Conduct

Author : American Bar Association. House of Delegates
Publisher : American Bar Association
ISBN 13 : 9781590318737
Total Pages : 216 pages
Book Rating : 4.3/5 (187 download)

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Book Synopsis Model Rules of Professional Conduct by : American Bar Association. House of Delegates

Download or read book Model Rules of Professional Conduct written by American Bar Association. House of Delegates and published by American Bar Association. This book was released on 2007 with total page 216 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Model Rules of Professional Conduct provides an up-to-date resource for information on legal ethics. Federal, state and local courts in all jurisdictions look to the Rules for guidance in solving lawyer malpractice cases, disciplinary actions, disqualification issues, sanctions questions and much more. In this volume, black-letter Rules of Professional Conduct are followed by numbered Comments that explain each Rule's purpose and provide suggestions for its practical application. The Rules will help you identify proper conduct in a variety of given situations, review those instances where discretionary action is possible, and define the nature of the relationship between you and your clients, colleagues and the courts.

Intermediate Microeconomics

Author : Patrick M. Emerson
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (123 download)

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Book Synopsis Intermediate Microeconomics by : Patrick M. Emerson

Download or read book Intermediate Microeconomics written by Patrick M. Emerson and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Depraved Indifference

Author : Gary Indiana
Publisher : MIT Press
ISBN 13 : 1635901081
Total Pages : 345 pages
Book Rating : 4.6/5 (359 download)

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Book Synopsis Depraved Indifference by : Gary Indiana

Download or read book Depraved Indifference written by Gary Indiana and published by MIT Press. This book was released on 2020-01-07 with total page 345 pages. Available in PDF, EPUB and Kindle. Book excerpt: The third of Gary Indiana's famed crime trilogy tells a story inspired by the virtuoso con artistry of mother-and-son criminals Sante and Kenneth Kimes. She collected future marks like lottery tickets. She operated by reflex. Any public room was a pristine harvest of human information. Not just business cards, phone numbers, fax numbers and the like, but weaknesses, quirks, character flaws, delusional ambitions, risky dreams, medical problems, shaky marriages. Everybody came equipped with a panel of invisible buttons.... If you had the right touch, if you knew how to press one button lightly and another button with a bit more force, you could make the emotional side of a person swing up and down as you wished. —from Depraved Indifference First published in 2001, Depraved Indifference is the third of Gary Indiana's famed crime trilogy now being reissued by Semiotext(e). Inspired by the virtuoso con artistry of mother-and-son criminals Sante and Kenneth Kimes, Depraved Indifference follows Evangeline Slote, a dead ringer for Elizabeth Taylor “so compulsive she grifts herself when she runs out of other people” through the circus of calamity that her compulsions invoke. Evangeline, or “Evelyn Carson, “Princess Shah Shah,” among other pseudonyms, accompanied by her alcoholic husband Warren and fanatically devoted son Devin, moves from Las Vegas to Hawaii to Nassau in a maelstrom of forgery and fraud that constantly threatens to come undone. When Warren dies, Evangeline and her son embark upon an ever more brazen series of grifts, frauds, and crimes. Thriving on chaos, a master of manipulation and seduction, Evangeline concocts the scheme to end all schemes—which may take a murder to complete. Reminiscent of Nathanael West's The Day of the Locust, Indiana's scathing, insightful prose is a mirror to the empty landscape of American culture.

Pricing the Planet's Future

Author : Christian Gollier
Publisher : Princeton University Press
ISBN 13 : 0691148767
Total Pages : 244 pages
Book Rating : 4.6/5 (911 download)

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Book Synopsis Pricing the Planet's Future by : Christian Gollier

Download or read book Pricing the Planet's Future written by Christian Gollier and published by Princeton University Press. This book was released on 2013 with total page 244 pages. Available in PDF, EPUB and Kindle. Book excerpt: Today, the judge, the citizen, the politician, and the entrepreneur are concerned with the sustainability of our development.

Applied Stochastic Analysis

Author : M. H. A. Davis
Publisher : CRC Press
ISBN 13 : 9782881247163
Total Pages : 596 pages
Book Rating : 4.2/5 (471 download)

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Book Synopsis Applied Stochastic Analysis by : M. H. A. Davis

Download or read book Applied Stochastic Analysis written by M. H. A. Davis and published by CRC Press. This book was released on 1991 with total page 596 pages. Available in PDF, EPUB and Kindle. Book excerpt: A collection of 22 articles based on papers presented at a workshop held at Imperial College, London, April 1989. They concern applications of stochastic analysis--the theory of stochastic integration, martingales and Markov processes--to a variety of applied problems centered around optimization of dynamical systems under uncertainty. Topics covered include characterization and approximation for stochastic system models, problems in stochastic control theory, and various facets of nonlinear filtering theory and system identification. Annotation copyrighted by Book News, Inc., Portland, OR

An Equilibrium Pricing Model for Weather Derivatives

Author : Yongheon Lee
Publisher :
ISBN 13 :
Total Pages : 192 pages
Book Rating : 4.:/5 (34 download)

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Book Synopsis An Equilibrium Pricing Model for Weather Derivatives by : Yongheon Lee

Download or read book An Equilibrium Pricing Model for Weather Derivatives written by Yongheon Lee and published by . This book was released on 2008 with total page 192 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Nonlinear Valuation and Non-Gaussian Risks in Finance

Author : Dilip B. Madan
Publisher : Cambridge University Press
ISBN 13 : 1316518094
Total Pages : 283 pages
Book Rating : 4.3/5 (165 download)

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Book Synopsis Nonlinear Valuation and Non-Gaussian Risks in Finance by : Dilip B. Madan

Download or read book Nonlinear Valuation and Non-Gaussian Risks in Finance written by Dilip B. Madan and published by Cambridge University Press. This book was released on 2022-02-03 with total page 283 pages. Available in PDF, EPUB and Kindle. Book excerpt: Explore how market valuation must abandon linearity to deliver efficient resource allocation.

Indifference Arguments

Author : Stephen Makin
Publisher : Wiley-Blackwell
ISBN 13 :
Total Pages : 262 pages
Book Rating : 4.F/5 ( download)

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Book Synopsis Indifference Arguments by : Stephen Makin

Download or read book Indifference Arguments written by Stephen Makin and published by Wiley-Blackwell. This book was released on 1993 with total page 262 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this book Stephen Makin offers a striking new account of some intriguing but neglected arguments - indifference arguments - and of the presocratic atomism underpinned by indifference reasoning. Used by Parmenides, Democritus, Plato, Aristotle and Leibniz as well as some contemporary philosophers, indifference arguments start from claims about a balance of reasons or an absence of asymmetries. While some provide plausible support for surprisingly strong conclusions, others produce no conviction. Here, Makin offers an account of indifference arguments and provides answers to such philosophical questions as ′What makes a good piece of indifference reasoning?′, ′How do the arguments work?′, ′Do they involve claims about metaphysical commitments?′ The account that is presented of the Democritean atomic theory strongly emphasizes the continuity of atomism with earlier thought. A number of Zeno′s arguments are considered, and there is some discussion of other Eleatics. Indifference arguments in other ancient philosophers, such as Anaximander and Aristotle, also receive attention. The book will be of interest to all those concerned with ancient philosophy and philosophical logic.