rdf-syntax-grammar
mods:
  schema location: http://www.loc.gov/mods/v3 http://www.loc.gov/standards/mods/v3/mods-3-2.xsd
  title info:
    title: Neutral and Indifference Portfolio Pricing, Hedging and Investing
    sub title: With applications in Equity and FX
  name:
    name part: Stojanovic, Srdjan.
    role:
      role term: creator
    role:
      role term: author.
  name:
    name part: SpringerLink (Online service)
  type of resource: text
  origin info:
    place:
      place term: xxu
    date issued: 2012
    issuance: monographic
  language:
    language term: eng
  physical description:
    form: electronic
    form: electronic resource
    reformatting quality: access
    form: remote
    extent: XIV, 263 p. online resource.
  abstract: 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).
  table of contents: 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.-.
  note: by Srdjan Stojanovic.
  subject:
    topic: Mathematics
  subject:
    topic: Partial differential equations
  subject:
    topic: Applied mathematics
  subject:
    topic: Engineering mathematics
  subject:
    topic: Economics, Mathematical
  subject:
    topic: Computer mathematics
  subject:
    topic: Macroeconomics
  subject:
    topic: Mathematics
  subject:
    topic: Quantitative Finance
  subject:
    topic: Macroeconomics/Monetary Economics//Financial Economics
  subject:
    topic: Computational Mathematics and Numerical Analysis
  subject:
    topic: Partial Differential Equations
  subject:
    topic: Applications of Mathematics
  classification: HB135-147
  classification: 519
  related item:
    title info:
      title: Springer eBooks
  identifier: 9780387714189
  identifier: http://dx.doi.org/10.1007/978-0-387-71418-9
  record info:
    record creation date: 110829
    record change date: 20151204152108.0
    record identifier: 978-0-387-71418-9