Robust Static Super-Replication of Barrier Options: 7 (Radon Series on Computational and Applied Mathematics, 7) - Tapa dura
Sinopsis
Static hedge portfolios for barrier options are very sensitive with respect to changes of the volatility surface. To prevent potentially significant hedging losses this book develops a static super-replication strategy with market-typical robustness against volatility, skew and liquidity risk as well as model errors. Combined with associated sub-replication strategies this leads to empirically robust price bounds for barrier options which are also relevant in the context of dynamic hedging.
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Jan H. Maruhn, UniCredit Markets & Investment Banking, Munich, Germany.
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Robust Static Super-Replication of Barrier Options
Librería: SKULIMA Wiss. Versandbuchhandlung, Westhofen, Alemania
Calificación del vendedor: 5 de 5 estrellas
Condición: Neu. Static hedge portfolios for barrier options are very sensitive with respect to changes of the volatility surface. To prevent potentially significant hedging losses this book develops a static super-replication strategy with market-typical robustness against volatility, skew and liquidity risk as well as model errors. Combined with associated sub-replication strategies this leads to empirically robust price bounds for barrier options which are also relevant in the context of dynamic hedging. XII,197 Seiten, gebunden (Walter de Gruyter Verlag 2009). Statt EUR 179,95. Gewicht: 480 g - Gebunden/Gebundene Ausgabe. Nº de ref. del artículo: 86836
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Robust Static Super-Replication of Barrier Options
Publicado por
De Gruyter, De Gruyter Jul 2009, 2009
ISBN 10: 3110204681
ISBN 13: 9783110204681
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Librería: BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, Alemania
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Buch. Condición: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -Static hedge portfolios for barrier options are very sensitive with respect to changes of the volatility surface. To prevent potentially significant hedging losses this book develops a static super-replication strategy with market-typical robustness against volatility, skew and liquidity risk as well as model errors. Empirical results and various numerical examples confirm that the static superhedge successfully eliminates the risk of a changing volatility surface. Combined with associated sub-replication strategies this leads to robust price bounds for barrier options which are also relevant in the context of dynamic hedging. The mathematical techniques used to prove appropriate existence, duality and convergence results range from financial mathematics, stochastic and semi-infinite optimization, convex analysis and partial differential equations to semidefinite programming. 212 pp. Englisch. Nº de ref. del artículo: 9783110204681
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Robust Static Super-Replication of Barrier Options
Impresión bajo demandaLibrería: PBShop.store US, Wood Dale, IL, Estados Unidos de America
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HRD. Condición: New. New Book. Shipped from UK. THIS BOOK IS PRINTED ON DEMAND. Established seller since 2000. Nº de ref. del artículo: L1-9783110204681
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Robust Static Super-Replication of Barrier Options
Impresión bajo demandaLibrería: PBShop.store UK, Fairford, GLOS, Reino Unido
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HRD. Condición: New. New Book. Delivered from our UK warehouse in 4 to 14 business days. THIS BOOK IS PRINTED ON DEMAND. Established seller since 2000. Nº de ref. del artículo: L1-9783110204681
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Robust Static Super-Replication of Barrier Options (Radon Series on Computational and Applied Mathematics, 7)
Librería: Ria Christie Collections, Uxbridge, Reino Unido
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Condición: New. In. Nº de ref. del artículo: ria9783110204681_new
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Robust Static Super-Replication of Barrier Options
Impresión bajo demandaLibrería: moluna, Greven, Alemania
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Condición: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. I always felt that Jan Maruhn would be the only person on the globe who knows how to statically hedge barrier options. Now I am even more pleased to see th. Nº de ref. del artículo: 26739219
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Robust Static Super-Replication of Barrier Options
Impresión bajo demandaLibrería: preigu, Osnabrück, Alemania
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Buch. Condición: Neu. Robust Static Super-Replication of Barrier Options | Jan H. Maruhn | Buch | XII | Englisch | 2009 | De Gruyter | EAN 9783110204681 | Verantwortliche Person für die EU: Walter de Gruyter GmbH, De Gruyter GmbH, Genthiner Str. 13, 10785 Berlin, productsafety[at]degruyterbrill[dot]com | Anbieter: preigu Print on Demand. Nº de ref. del artículo: 101561746
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Robust Static Super-Replication of Barrier Options
Publicado por
De Gruyter, De Gruyter Jul 2009, 2009
ISBN 10: 3110204681
ISBN 13: 9783110204681
Nuevo
Tapa dura
Librería: buchversandmimpf2000, Emtmannsberg, BAYE, Alemania
Calificación del vendedor: 5 de 5 estrellas
Buch. Condición: Neu. This item is printed on demand - Print on Demand Titel. Neuware -Static hedge portfolios for barrier options are very sensitive with respect to changes of the volatility surface. To prevent potentially significant hedging losses this book develops a static super-replication strategy with market-typical robustness against volatility, skew and liquidity risk as well as model errors. Empirical results and various numerical examples confirm that the static superhedge successfully eliminates the risk of a changing volatility surface. Combined with associated sub-replication strategies this leads to robust price bounds for barrier options which are also relevant in the context of dynamic hedging. The mathematical techniques used to prove appropriate existence, duality and convergence results range from financial mathematics, stochastic and semi-infinite optimization, convex analysis and partial differential equations to semidefinite programming.Walter de Gruyter GmbH, Genthiner Strasse 13, 10785 Berlin 212 pp. Englisch. Nº de ref. del artículo: 9783110204681
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Robust Static Super-Replication of Barrier Options
Librería: AHA-BUCH GmbH, Einbeck, Alemania
Calificación del vendedor: 5 de 5 estrellas
Buch. Condición: Neu. Druck auf Anfrage Neuware - Printed after ordering - Static hedge portfolios for barrier options are very sensitive with respect to changes of the volatility surface. To prevent potentially significant hedging losses this book develops a static super-replication strategy with market-typical robustness against volatility, skew and liquidity risk as well as model errors. Empirical results and various numerical examples confirm that the static superhedge successfully eliminates the risk of a changing volatility surface. Combined with associated sub-replication strategies this leads to robust price bounds for barrier options which are also relevant in the context of dynamic hedging. The mathematical techniques used to prove appropriate existence, duality and convergence results range from financial mathematics, stochastic and semi-infinite optimization, convex analysis and partial differential equations to semidefinite programming. Nº de ref. del artículo: 9783110204681
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Robust Static Super-Replication of Barrier Options
Publicado por
De Gruyter, DE, 2009
ISBN 10: 3110204681
ISBN 13: 9783110204681
Nuevo
Tapa dura
Original o primera edición
Librería: Rarewaves USA, OSWEGO, IL, Estados Unidos de America
Calificación del vendedor: 5 de 5 estrellas
Hardback. Condición: New. 1st. Static hedge portfolios for barrier options are very sensitive with respect to changes of the volatility surface. To prevent potentially significant hedging losses this book develops a static super-replication strategy with market-typical robustness against volatility, skew and liquidity risk as well as model errors. Empirical results and various numerical examples confirm that the static superhedge successfully eliminates the risk of a changing volatility surface. Combined with associated sub-replication strategies this leads to robust price bounds for barrier options which are also relevant in the context of dynamic hedging. The mathematical techniques used to prove appropriate existence, duality and convergence results range from financial mathematics, stochastic and semi-infinite optimization, convex analysis and partial differential equations to semidefinite programming. Nº de ref. del artículo: LU-9783110204681
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