Hedging Derivatives

Hedging Derivatives

eBook - 2011
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Valuation and hedging of financial derivatives are intrinsically linked concepts. Choosing appropriate hedging techniques depends on both the type of derivative and assumptions placed on the underlying stochastic process. This volume provides a systematic treatment of hedging in incomplete markets. Mean-variance hedging under the risk-neutral measure is applied in the framework of exponential Lévy processes and for derivatives written on defaultable assets. It is discussed how to complete markets based upon stochastic volatility models via trading in both stocks and vanilla options. Exponentia.
Publisher: New Jersey : World Scientific, 2011
ISBN: 9789814338806
981433880X
9781283433655
1283433656
9789814338790
9814338796
Characteristics: 1 online resource (233 pages)
Additional Contributors: Sexton, Jenny

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