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Robust Static Super-Replication of Barrier Options (Radon Series on Computational and Applied Mathematics) - Jan H. Maruhn
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Jan H. Maruhn:

Robust Static Super-Replication of Barrier Options (Radon Series on Computational and Applied Mathematics) - gebrauchtes Buch

ISBN: 9783110204681

ID: INF3002682827

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. Robust Static Super-Replication of Barrier Options (Radon Series on Computational and Applied Mathematics): 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. Finanzmathematik Mathematik / Finanzmathematik MATHEMATICS / Applied MATHEMATICS / Linear & Nonlinear Programming, De Gruyter

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Robust Static Super-Replication of Barrier Options - Jan H. Maruhn
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Robust Static Super-Replication of Barrier Options - gebunden oder broschiert

ISBN: 9783110204681

ID: 9783110204681

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. Robust Static Super-Replication of Barrier Options: 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. Finanzmathematik Mathematik / Finanzmathematik MATHEMATICS / Applied MATHEMATICS / Linear & Nonlinear Programming, Walter De Gmbh Gruyter

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Robust Static Super-Replication of Barrier Options (Radon Series on Computational and Applied Mathematics) - Jan H. Maruhn
Vergriffenes Buch, derzeit bei uns nicht verfügbar.
(*)
Jan H. Maruhn:
Robust Static Super-Replication of Barrier Options (Radon Series on Computational and Applied Mathematics) - gebrauchtes Buch

2009

ISBN: 3110204681

ID: 18039616432

[EAN: 9783110204681], [PU: De Gruyter], FINANZMATHEMATIK; MATHEMATIK / MATHEMATICS APPLIED; LINEAR & NONLINEAR PROGRAMMING, Mathematics|Applied, Gebraucht - Sehr gut - 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. 197 pp. Englisch

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Robust Static Super-Replication of Barrier Options - Jan H. Maruhn
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Jan H. Maruhn:
Robust Static Super-Replication of Barrier Options - neues Buch

ISBN: 9783110204681

[ED: Buch], [PU: Gruyter, Walter de GmbH], 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. 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. -, [SC: 0.00], Neuware, gewerbliches Angebot, 280x210x18 mm, [GW: 489g]

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Robust Static Super-Replication of Barrier Options - Jan H. Maruhn
Vergriffenes Buch, derzeit bei uns nicht verfügbar.
(*)
Jan H. Maruhn:
Robust Static Super-Replication of Barrier Options - neues Buch

ISBN: 9783110204681

[ED: Buch], [PU: Gruyter, Walter de GmbH], 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. 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., [SC: 0.00], Neuware, gewerbliches Angebot, 280x210x18 mm, [GW: 489g]

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Robust Static Super-Replication of Barrier Options (Radon Series on Computational and Applied Mathematics)
Autor:

Maruhn, Jan H.

Titel:

Robust Static Super-Replication of Barrier Options (Radon Series on Computational and Applied Mathematics)

ISBN-Nummer:

3110204681

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.

Detailangaben zum Buch - Robust Static Super-Replication of Barrier Options (Radon Series on Computational and Applied Mathematics)


EAN (ISBN-13): 9783110204681
ISBN (ISBN-10): 3110204681
Gebundene Ausgabe
Erscheinungsjahr: 2009
Herausgeber: Gruyter, Walter de GmbH
197 Seiten
Gewicht: 0,489 kg
Sprache: eng/Englisch

Buch in der Datenbank seit 16.05.2009 21:02:54
Buch zuletzt gefunden am 15.11.2016 16:15:06
ISBN/EAN: 3110204681

ISBN - alternative Schreibweisen:
3-11-020468-1, 978-3-11-020468-1

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