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Author:   Pierre Bernhard ,  Jacob C. Engwerda ,  Berend Roorda ,  J.M. Schumacher
Publisher:   Birkhauser Boston Inc
Imprint:   Birkhauser Boston Inc
Edition:   2013 ed.
Dimensions:   Width: 15.50cm , Height: 1.90cm , Length: 23.50cm
Weight:   5.504kg
ISBN:  

9781489985804

ISBN 10:   1489985808
Pages:   348
Publication Date:   28 January 2015
Audience:   Professional and scholarly ,  Professional & Vocational
Format:   Paperback
Publisher's Status:   Active
Availability:   Manufactured on demand  
We will order this item for you from a manufactured on demand supplier.

Table of Contents

Preface.- Part I Revisiting Two Classic Results in Dynamic Portfolio Management.- Merton’s Optimal Dynamic Portfolio Revisited.- Option Pricing: Classic Results.- Introduction.- Part II Hedging in Interval Models.- Fair Price Intervals.- Optimal Hedging Under Robust-Cost Constraints.- Appendix: Proofs.- Continuous and Discrete-Time Option Pricing and Interval Market Model.- Part III Robust-Control Approach to Option Pricing.- Vanilla Options.- Digital Options.- Validation.- Introduction.- Part IV Game-Theoretic Analysis of Rainbow Options in Incomplete Markets.- Emergence of Risk-Neutral Probabilities.- Rainbow Options in Discrete Time, I.- Rainbow Options in Discrete Time, II.- Continuous-Time Limits.- Credit Derivatives.- Computational Methods Based on the Guaranteed Capture Basin Algorithm.- Viability Approach to Complex Option Pricing and Portfolio Insurance.- Asset and Liability Insurance Management (ALIM) for Risk Eradication.- References.- Index.  

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