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Robust Static Super-Replication of Barrier Options - Jan H. Maruhn
Vergriffenes Buch, derzeit bei uns nicht verfügbar.
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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. 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., DE, [SC: 0.00], Neuware, gewerbliches Angebot, 230x155x18 mm, 197, [GW: 489g], offene Rechnung (Vorkasse vorbehalten), PayPal, Banküberweisung, Interntationaler Versand

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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

15, 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. 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., DE, [SC: 0.00], Neuware, gewerbliches Angebot, FixedPrice, 197, [GW: 489g], offene Rechnung (Vorkasse vorbehalten), PayPal, Banküberweisung

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

1, ISBN: 9783110204681

[ED: Gebundene Ausgabe], [PU: De Gruyter], 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., DE, [SC: 0.00], wie neu, gewerbliches Angebot, 197, [GW: 481g], PayPal, offene Rechnung, Banküberweisung, Interntationaler Versand

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

2009, ISBN: 3110204681

ID: 11435295914

[EAN: 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. XII,197 Seiten, gebunden (Walter de Gruyter Verlag 2009). Früher EUR 104,95 480 g. Sprache: en, [PU: de Gruyter, Berlin/New York]

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

ISBN: 3110204681

ID: 22381236587

[EAN: 9783110204681], Gebraucht, sehr guter Zustand, Mathematics|Applied, 481 Gramm., [PU: de Gruyter, Berlin/New York]

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Details zum Buch
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.

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 23.09.2017 13:04:43
ISBN/EAN: 9783110204681

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


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