Fundamentals and Advanced Techniques in Derivatives Hedging

• Main Authors: Bouchard, Bruno (Author), Chassagneux, Jean-François (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Cham : Springer International Publishing : Imprint: Springer, 2016.
• Series: Universitext,
• Subjects: Mathematics.; Partial differential equations.; Economics, Mathematical.; Calculus of variations.; Probabilities.; Quantitative Finance.; Probability Theory and Stochastic Processes.; Partial Differential Equations.; Calculus of Variations and Optimal Control; Optimization.

This book covers the theory of derivatives pricing and hedging as well as techniques used in mathematical finance. The authors use a top-down approach, starting with fundamentals before moving to applications, and present theoretical developments alongside various exercises, providing many examples...

Table of Contents:

• Part A. Fundamental theorems
• Discrete time models
• Continuous time models
• Optimal management and price selection.- Part B. Markovian models and PDE approach
• Delta hedging in complete market
• Super-replication and its practical limits
• Hedging under loss contraints.- Part C. Practical implementation in local and stochastic volatility models
• Local volatility models
• Stochastic volatility models
• References.