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Neutral and Indifference Portfolio Pricing, Hedging and Investing : With applications in Equity and FX / by Srdjan Stojanovic
Resource type: Ressourcentyp: Buch (Online)Book (Online)Language: English Series: SpringerLink BücherPublisher: New York, NY : Springer Science+Business Media, LLC, 2012Description: Online-Ressource (XIV, 263p. 6 illus, digital)ISBN:- 9780387714189
- Finanzmathematik
- Portfolio-Management
- Optionspreistheorie
- Hedging
- Unvollkommener Markt
- Theorie
- Portfolio Selection
- Mathematische Methode
- Portfolio-Investition
- Mathematics
- Differential equations, partial
- Finance
- Computer science
- Economics, Mathematical
- Macroeconomics
- Computer mathematics
- Partial differential equations
- Applied mathematics
- Engineering mathematics
- Hedging (Finance)
- Financial futures
- Investments
- 332.6320151
- 519
- HB135-147
- HG6024.A3
Contents:
Summary: 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.-.Summary: 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).PPN: PPN: 1651020280Package identifier: Produktsigel: ZDB-2-SMA | ZDB-2-SEB | ZDB-2-SMA | ZDB-2-SXMS
""Neutral and Indifference Portfolio Pricing,Hedging and Investing""; ""Preface""; ""Contents""; ""Chapter 1: Background Material ""; ""1.1 Mathematical Framework""; ""1.2 White Noise and Brownian Motion""; ""1.3 Multidimensional Brownian Motion""; ""1.4 Stochastic Differential Equations""; ""1.5 It� Chain Rule""; ""1.6 Relationship Between It� SDEs and Second-Order Linear PDEs""; ""1.7 Nonlinear PDEs: Hamilton�Jacobi�Bellman PDEs""; ""Chapter 2: Simple Economies: Complete and Incomplete Markets ""; ""2.1 Introduction""
""2.2 Definition of a Simple Economy E: A Framework for Financial Mathematics""""2.3 Complete and Incomplete Markets""; ""2.4 Some Market Models: Nonredundancy and Completeness/Incompleteness""; ""2.4.1 Log-Normal (Black�Scholes) Market Model""; ""2.4.2 Stochastic Appreciation Rate""; ""2.4.3 Stochastic Volatility: Heston's Model""; ""2.4.4 An Alternative Stochastic Volatility Model""; ""2.4.5 Stochastic Interest Rates: Vasicek Model""; ""2.4.6 Stochastic Interest Rates: Cox�Ingersoll�Ross Model""; ""2.4.7 Longstaff and Schwartz Interest Rate Model""
""2.4.8 Stochastic Interest, Dividend, and Appreciation Rate Model: Part 1""""2.5 Remarks on Data Analysis: Model Fitting""; ""2.5.1 Data Importation and Formatting (Using Mathematica)""; ""2.5.2 Statistical Analysis""; ""2.5.3 Implementation and Some Empirical Results""; ""Chapter 3: Investment Portfolio Optimization ""; ""3.1 Introduction""; ""3.2 Utility of Wealth""; ""3.3 Investment Portfolio Optimization Problems""; ""3.4 Derivation of the Optimal Portfolio Formula and of the Monge�Amp�re-type PDE for the Value Function: No Constraints on the Portfolio""
""3.5 Derivation of the Optimal Portfolio Formula and of the Monge�Amp�re-Type PDE for the Value Function: Affine Constraint on the Portfolio""""3.6 CRRA Utility Case: No Constraints on the Portfolio""; ""3.7 CRRA Utility Case: Affine Constraints on the Portfolio""; ""3.8 CARA Utility Case: No Constraints on the Portfolio � Deterministic Interest Rates""; ""3.9 CARA Utility Case: Affine Constraints on the Portfolio � Deterministic Interest Rates""; ""3.10 Case Study: Stochastic Volatility""; ""3.11 Case Study: Stochastic Interest Rates""
""3.12 Stochastic Interest, Dividend, and Appreciation Rate Model: Part 2""""Chapter 4: Pricing: Neutral and Indifference ""; ""4.1 Introduction""; ""4.2 Definition of the Extended, i.e., Auxiliary Simple Economy Ea-A Framework for Pricing and Hedging""; ""4.3 Definition of Neutral and Indifference Pricing Problems; Hypothesis 4.3.1""; ""4.4 Further Vector Calculus Notation""; ""4.5 Market Coefficients for the Auxiliary Simple Economy Ea""; ""4.6 The Fundamental Matrix of Derivative Pricing and Hedging""; ""4.7 Any-Utility Neutral Pricing""; ""4.8 Any-Utility Indifference Pricing""
""4.9 CRRA Neutral Pricing""
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