Hedging Contingent Claims In Complete And Incomplete Markets PDF Download
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Author | : Christopher William Potter |
Publisher | : |
Total Pages | : 390 |
Release | : 2005 |
Genre | : Hedging (Finance) |
ISBN | : |
Download Hedging Contingent Claims in Complete and Incomplete Markets Book in PDF, ePub and Kindle
Author | : Peter og Klaus N.D. Møller og Krarup-Christensen |
Publisher | : |
Total Pages | : 155 |
Release | : 1993 |
Genre | : |
ISBN | : |
Download Valuation and Hedging of Contingent Claims in Complete and Incomplete Markets Book in PDF, ePub and Kindle
Author | : Noel Valliant dit Massart |
Publisher | : |
Total Pages | : |
Release | : 1995 |
Genre | : |
ISBN | : |
Download Mean-variance Hedging and Pricing of Contingent Claims in Incomplete Markets Book in PDF, ePub and Kindle
Author | : Hendrik Sumpf |
Publisher | : |
Total Pages | : 124 |
Release | : 2014 |
Genre | : |
ISBN | : |
Download Static Mean-variance Hedging of Path-dependent European Contingent Claims in Incomplete Markets of Vanilla European Contingent Claims Book in PDF, ePub and Kindle
Author | : Emilio Barucci |
Publisher | : |
Total Pages | : 13 |
Release | : 1999 |
Genre | : |
ISBN | : |
Download Hedging European Contingent Claims in a Markovian Incomplete Market Book in PDF, ePub and Kindle
Author | : Constantinos Alexandropoulos |
Publisher | : |
Total Pages | : |
Release | : 2005 |
Genre | : |
ISBN | : |
Download Optimal Pricing of Contingent Claims in Incomplete Markets Book in PDF, ePub and Kindle
Author | : Zhenke Guan |
Publisher | : |
Total Pages | : 83 |
Release | : 2004 |
Genre | : |
ISBN | : |
Download Hedging of Contingent Claims in Financial Markets Book in PDF, ePub and Kindle
Author | : Frederic Abergel |
Publisher | : |
Total Pages | : 6 |
Release | : 2013 |
Genre | : |
ISBN | : |
Download Comparing Quadratic and Non-Quadratic Local Risk Minimization for the Hedging of Contingent Claims Book in PDF, ePub and Kindle
In this note, I study further the approach introduced in for the hedging of derivatives in incomplete markets via local risk minimization. A structure result is provided, which essentially shows the equivalence between non-quadratic risk minimization under the historical probability and quadratic local risk minimization under an equivalent, implicitly defined probability.
Author | : Suleyman Basak |
Publisher | : |
Total Pages | : 0 |
Release | : 2011 |
Genre | : Financial futures |
ISBN | : |
Download Dynamic Hedging in Incomplete Markets Book in PDF, ePub and Kindle
Despite much work on hedging in incomplete markets, the literature still lacks tractable dynamic hedges in plausible environments. In this article, we provide a simple solution to this problem in a general incomplete-market economy in which a hedger, guided by the traditional minimum-variance criterion, aims at reducing the risk of a non-tradable asset or a contingent claim. We derive fully analytical optimal hedges and demonstrate that they can easily be computed in various stochastic environments. Our dynamic hedges preserve the simple structure of complete-market perfect hedges and are in terms of generalized "Greeks," familiar in risk management applications, as well as retaining the intuitive features of their static counterparts. We obtain our time-consistent hedges by dynamic programming, while the extant literature characterizes either static or myopic hedges, or dynamic ones that minimize the variance criterion at an initial date and from which the hedger may deviate unless she can pre-commit to follow them. We apply our results to the discrete hedging problem of derivatives when trading occurs infrequently. We determine the corresponding optimal hedge and replicating portfolio value, and show that they have structure similar to their complete-market counterparts and reduce to generalized Black-Scholes expressions when specialized to the Black-Scholes setting. We also generalize our results to richer settings to study dynamic hedging with Poisson jumps, stochastic correlation and portfolio management with benchmarking.
Author | : D. O. Kramkov |
Publisher | : |
Total Pages | : 28 |
Release | : 1994 |
Genre | : |
ISBN | : |
Download Optional Decomposition of Supermartingales and Hedging Contingent Claims in Incomplete Security Markets Book in PDF, ePub and Kindle