Leseprobe
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Indifference Pricing
René Carmona (Hrsg.)
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Sozialwissenschaften, Recht, Wirtschaft / Betriebswirtschaft
Beschreibung
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
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Girsanov theorem, Fair value, Market portfolio, Central limit theorem, Short sale (real estate), And Interest, Duality (optimization), Local volatility, Forward contract, Mathematical optimization, Entropic risk measure, Incomplete markets, Residual risk, Probability measure, Calculation, Martingale (probability theory), Cash flow, Plain vanilla, Mathematical finance, Portfolio optimization, Stochastic discount factor, Binomial distribution, Optimization problem, Exponential utility, Kalman filter, Trading strategy, Coherent risk measure, Numeraire, Basis risk, Bellman equation, Markov model, Lipschitz continuity, Risk-neutral measure, Risk aversion, Mark-to-market accounting, Expected utility hypothesis, Wealth, Predictable process, Feynman–Kac formula, Arbitrage, Credit spread (options), Dynamic programming, Path dependence, Risk management, Put option, Quantity, Real options valuation, Stochastic differential equation, Utility, Market price, Pricing, Loss function, Accuracy and precision, Preference (economics), Stochastic volatility, Call option, Nonlinear pricing, Stochastic control, Weather derivative, Insurance, Kullback–Leibler divergence, Diversification (finance), Utility maximization problem, Expected shortfall, Probability, Convenience yield, Barrier option, Adapted process, Geometric Brownian motion, Partial equilibrium