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20140310151441.0 |
| 007 - PHYSICAL DESCRIPTION FIXED FIELD--GENERAL INFORMATION |
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110829s2012 xxu| s |||| 0|eng d |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
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| International Standard Book Number |
9780387714189 |
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978-0-387-71418-9 |
| 050 #4 - LIBRARY OF CONGRESS CALL NUMBER |
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| Classification number |
HB135-147 |
| 082 04 - DEWEY DECIMAL CLASSIFICATION NUMBER |
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| Classification number |
519 |
| Edition number |
23 |
| 264 #1 - |
|---|
| -- |
New York, NY : |
| -- |
Springer New York : |
| -- |
Imprint: Springer, |
| -- |
2012. |
| 912 ## - |
|---|
| -- |
ZDB-2-SMA |
| 100 1# - MAIN ENTRY--PERSONAL NAME |
|---|
| Personal name |
Stojanovic, Srdjan. |
| Relator term |
author. |
| 245 10 - IMMEDIATE SOURCE OF ACQUISITION NOTE |
|---|
| Title |
Neutral and Indifference Portfolio Pricing, Hedging and Investing |
| Medium |
[electronic resource] : |
| Remainder of title |
With applications in Equity and FX / |
| Statement of responsibility, etc |
by Srdjan Stojanovic. |
| 300 ## - PHYSICAL DESCRIPTION |
|---|
| Extent |
XIV, 263p. 6 illus. |
| Other physical details |
online resource. |
| 505 0# - FORMATTED CONTENTS NOTE |
|---|
| Formatted contents note |
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.-. |
| 520 ## - SUMMARY, ETC. |
|---|
| Summary, etc |
This book is written for quantitative finance professionals, students, educators, and mathematically inclined individual investors. It is about some of the latest 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. While there are many books on the financial mathematics of incomplete markets based on probability, and equivalent martingale measure approach to pricing, this book is based solely on the analytical aspects of stochastic control, or more precisely, portfolio optimization. Namely, relying solely on portfolio optimization, neutral and indifference pricing as well as hedging methodologies were fully developed in the context of arbitrary diffusive Markovian market models and portfolios of contracts. That was made possible by some recent discoveries, the most specific one being a recently found matrix inverse – the fundamental matrix of derivatives pricing and hedging. This approach, while very general, is very feasible for practical implementations. So, many examples are fully derived. The reader will get the full understanding of the relationship between neutral and indifference pricing, how to implement either one of these pricing methodologies, how to implement hedging methodologies, and how to apply all these in equity portfolio valuations and foreign exchange. Srdjan D. Stojanovic is Professor in the Department of Mathematical Sciences at University of Cincinnati (USA) and Professor in the Center for Financial Engineering at Suzhou University (China). |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name as entry element |
Mathematics. |
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| Topical term or geographic name as entry element |
Differential equations, partial. |
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|---|
| Topical term or geographic name as entry element |
Finance. |
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| Topical term or geographic name as entry element |
Computer science |
| General subdivision |
Mathematics. |
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| Topical term or geographic name as entry element |
Mathematics. |
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| Topical term or geographic name as entry element |
Quantitative Finance. |
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| Topical term or geographic name as entry element |
Financial Economics. |
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| Topical term or geographic name as entry element |
Computational Mathematics and Numerical Analysis. |
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| Topical term or geographic name as entry element |
Partial Differential Equations. |
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| Topical term or geographic name as entry element |
Applications of Mathematics. |
| 710 2# - ADDED ENTRY--CORPORATE NAME |
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| Corporate name or jurisdiction name as entry element |
SpringerLink (Online service) |
| 773 0# - HOST ITEM ENTRY |
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| Title |
Springer eBooks |
| 776 08 - ADDITIONAL PHYSICAL FORM ENTRY |
|---|
| Display text |
Printed edition: |
| International Standard Book Number |
9780387714172 |
| 856 40 - ELECTRONIC LOCATION AND ACCESS |
|---|
| Uniform Resource Identifier |
http://dx.doi.org/10.1007/978-0-387-71418-9 |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) |
|---|
| Source of classification or shelving scheme |
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| Item type |
E-Book |
