Neutral and indifference portfolio pricing, hedging and investing: with applications in equity and FX

This book is written for quantitative finance professionals, students, educators, and mathematically inclined individual investors. It is about some of thelatest 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 Professorin the Center for Financial Engineering at Suzhou University (China). Presents a general theory of risk premium, pricing, and hedging of financial contracts that allows for a complete solution of problemsUses a practical perspective with examples relevant to the financial industryOffers new qualitative financial insights and predictions that are out of reach for standard pricing theoryWritten for self-study as well as for professional and academic courses INDICE: Preface. Background Material. Simple economies—complete and incomplete markets. Investment Portfolio Optimization.-Pricing: Neutral and Indifference. Hedging. Equity Valuation and Investing. FX Rates and FX Derivatives. Appendix. References.

• ISBN: 978-0-387-71417-2
• Editorial: Springer New York
• Encuadernacion: Cartoné
• Páginas: 247
• Fecha Publicación: 27/05/2011
• Nº Volúmenes: 1
• Idioma: Inglés