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.
"synopsis" may belong to another edition of this title.
"This book sets out to elucidate various conceptual and methodological aspects of indifference pricing, and it succeeds with flying colors. Indifference Pricing gives an interesting overview of this new field and is written in a careful, professional, and clear manner. It will be of interest to graduate student's in mathematics, finance, and economics, as well as mathematicians working in mathematical finance and quantitatively minded economists."--Gordan Zitkovic, University of Texas, Austin
René Carmona is the Paul M. Wythes '55 Professor of Engineering and Finance in the Department of Operations Research and Financial Engineering at Princeton University. His books include Interest Rate Models and Statistical Analysis of Financial Data in S-Plus.
"About this title" may belong to another edition of this title.
Shipping:
FREE
Within U.S.A.
Shipping:
FREE
Within U.S.A.
Seller: Ebooksweb, Bensalem, PA, U.S.A.
Condition: New. . Seller Inventory # 52GZZZ024X3B_ns
Quantity: 1 available
Seller: SecondSale, Montgomery, IL, U.S.A.
Condition: Good. Item in good condition. Textbooks may not include supplemental items i.e. CDs, access codes etc. Seller Inventory # 00063076387
Quantity: 1 available
Seller: Labyrinth Books, Princeton, NJ, U.S.A.
Condition: New. Seller Inventory # 126004
Quantity: 13 available
Seller: StainesBook, Weybridge, SURRE, United Kingdom
Seller Inventory # SpeedList-2393
Quantity: 5 available
Seller: Basi6 International, Irving, TX, U.S.A.
Condition: Brand New. New. US edition. Expediting shipping for all USA and Europe orders excluding PO Box. Excellent Customer Service. Seller Inventory # ABEJUNE24-296543
Quantity: 1 available
Seller: Ebooksweb, Bensalem, PA, U.S.A.
Condition: VeryGood. signs of little wear on the cover. Seller Inventory # 52GZZZ024XBR_ns
Quantity: 1 available
Seller: Ebooksweb, Bensalem, PA, U.S.A.
Condition: LikeNew. Remainder mark. Seller Inventory # 52GZZZ024XDA_ns
Quantity: 1 available
Seller: GreatBookPrices, Columbia, MD, U.S.A.
Condition: New. Seller Inventory # 5556272-n
Quantity: 2 available
Seller: PBShop.store US, Wood Dale, IL, U.S.A.
HRD. Condition: New. New Book. Shipped from UK. Established seller since 2000. Seller Inventory # WP-9780691138831
Quantity: 2 available
Seller: MARCIAL PONS LIBRERO, MADRID, Spain
TAPA DURA. Condition: New. Seller Inventory # 100838484
Quantity: 2 available