Indifference Pricing

Author : René Carmona
Publisher : Princeton University Press
Page : 427 pages
File Size : 51,9 Mb
Release : 2009-01-18
Category : Business & Economics
ISBN : 9780691138831

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Indifference Pricing by René Carmona Pdf

This is the first book about the emerging field of utility indifference pricing for valuing derivatives in incomplete markets. René Carmona brings together a who's who of leading experts in the field to provide the definitive introduction for students, scholars, and researchers. Until recently, financial mathematicians and engineers developed pricing and hedging procedures that assumed complete markets. But markets are generally incomplete, and it may be impossible to hedge against all sources of randomness. Indifference Pricing offers cutting-edge procedures developed under more realistic market assumptions. The book begins by introducing the concept of indifference pricing in the simplest possible models of discrete time and finite state spaces where duality theory can be exploited readily. It moves into a more technical discussion of utility indifference pricing for diffusion models, and then addresses problems of optimal design of derivatives by extending the indifference pricing paradigm beyond the realm of utility functions into the realm of dynamic risk measures. Focus then turns to the applications, including portfolio optimization, the pricing of defaultable securities, and weather and commodity derivatives. The book features original mathematical results and an extensive bibliography and indexes. In addition to the editor, the contributors are Pauline Barrieu, Tomasz R. Bielecki, Nicole El Karoui, Robert J. Elliott, Said Hamadène, Vicky Henderson, David Hobson, Aytac Ilhan, Monique Jeanblanc, Mattias Jonsson, Anis Matoussi, Marek Musiela, Ronnie Sircar, John van der Hoek, and Thaleia Zariphopoulou. The first book on utility indifference pricing Explains the fundamentals of indifference pricing, from simple models to the most technical ones Goes beyond utility functions to analyze optimal risk transfer and the theory of dynamic risk measures Covers non-Markovian and partially observed models and applications to portfolio optimization, defaultable securities, static and quadratic hedging, weather derivatives, and commodities Includes extensive bibliography and indexes Provides essential reading for PhD students, researchers, and professionals

Author : Srdjan Stojanovic
Publisher : Springer Science & Business Media
Page : 274 pages
File Size : 48,6 Mb
Release : 2011-09-28
Category : Mathematics
ISBN : 9780387714172

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Neutral and Indifference Portfolio Pricing, Hedging and Investing by Srdjan Stojanovic Pdf

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. 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).

Author : Fred Espen Benth,Jūratė Šaltytė Benth
Publisher : World Scientific
Page : 256 pages
File Size : 41,6 Mb
Release : 2012-10-04
Category : Mathematics
ISBN : 9789814401869

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Modeling and Pricing in Financial Markets for Weather Derivatives by Fred Espen Benth,Jūratė Šaltytė Benth Pdf

Weather derivatives provide a tool for weather risk management, and the markets for these exotic financial products are gradually emerging in size and importance. This unique monograph presents a unified approach to the modeling and analysis of such weather derivatives, including financial contracts on temperature, wind and rain. Based on a deep statistical analysis of weather factors, sophisticated stochastic processes are introduced modeling the time and space dynamics. Applying ideas from the modern theory of mathematical finance, weather derivatives are priced, and questions of hedging analyzed. The treatise contains an in-depth analysis of typical weather contracts traded at the Chicago Mercantile Exchange (CME), including so-called CDD and HDD futures. The statistical analysis of weather variables is based on a large data set from Lithuania. The monograph includes the research done by the authors over the last decade on weather markets. Their work has gained considerable attention, and has been applied in many contexts. Contents:Financial Markets for WeatherStatistics of Weather:Data Description and Exploratory AnalysisSpatial-Temporal ModellingWeather Derivatives:Continuous-Time Models for Temperature and Wind SpeedPricing of Forward Contracts on Temperature and Wind SpeedExtensions of Temperature and Wind Speed ModelsOptions on Temperature and WindPrecipitation DerivativesUtility-Based Approaches to Pricing Weather Derivatives Readership: Researchers in mathematical/quantitative finance, environmental/energy economics. Keywords:Weather Derivatives;Stochastic Processes;HDD;CDD;Autoregressive Moving Average Time Series;Futures Contracts;Options;Utility Pricing;Girsanov Transform;Esscher Transform;Precipitation;Temperature;Wind SpeedKey Features:A rigorous stochastic modeling of weather factors like temperature, wind and rain based on continuous-time autoregressive processes and Lévy processesPricing of weather derivatives like futures and options based on modern mathematical finance theoryThis book is unique in combining sophisticated stochastic models with the modern theory of mathematical finance to weather derivatives. It provides a unified approach to weather marketsReviews: "The monograph will also be useful for those dealing with energy markets, agriculture, insurance and financial engineering, and will stimulate further research in this important direction." Anatoliy Swishchuk University of Calgary

Author : Arthur C. Helton
Publisher : OUP Oxford
Page : 328 pages
File Size : 46,5 Mb
Release : 2002-03-07
Category : Political Science
ISBN : 9780191037528

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The Price of Indifference by Arthur C. Helton Pdf

Refugee policy has failed frequently over the past decade, resulting in instability, terrible hardships and loss of life. This book is the first effort to review systematically the recent past and re-design policy to give fresh answers to old problems. Specific recommendations are made to re-conceive refugee policy to be more proactive and comprehensive as well as to re-organize how policy is formulated within and among governments. Refugee policy has not kept pace with new realities in international and humanitarian affairs. Recent policy failures have resulted in instability, terrible hardships, and massive loss of life. This book systematically analyzes refugee policy responses over the past decade, and calls for specific reforms to make policy more proactive and comprehensive. Refugee policy must be more than the administration of misery. Responses should be calculated to help prevent or mitigate future humanitarian catastrophes. More international cooperation is needed in advance of crises. Humanitarian structures within governments, notably the United States, as well as the wide variety of international institutions involved in humanitarian action must be re-oriented to cope with new challenges.

Author : Jan Kallsen,Antonis Papapantoleon
Publisher : Springer
Page : 496 pages
File Size : 51,9 Mb
Release : 2016-12-01
Category : Mathematics
ISBN : 9783319458755

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Advanced Modelling in Mathematical Finance by Jan Kallsen,Antonis Papapantoleon Pdf

This Festschrift resulted from a workshop on “Advanced Modelling in Mathematical Finance” held in honour of Ernst Eberlein’s 70th birthday, from 20 to 22 May 2015 in Kiel, Germany. It includes contributions by several invited speakers at the workshop, including several of Ernst Eberlein’s long-standing collaborators and former students. Advanced mathematical techniques play an ever-increasing role in modern quantitative finance. Written by leading experts from academia and financial practice, this book offers state-of-the-art papers on the application of jump processes in mathematical finance, on term-structure modelling, and on statistical aspects of financial modelling. It is aimed at graduate students and researchers interested in mathematical finance, as well as practitioners wishing to learn about the latest developments.

Author : Walter L. Baker,Michael V. Marn,Craig C. Zawada
Publisher : John Wiley & Sons
Page : 405 pages
File Size : 48,8 Mb
Release : 2010-06-08
Category : Business & Economics
ISBN : 9780470481776

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The Price Advantage by Walter L. Baker,Michael V. Marn,Craig C. Zawada Pdf

A comprehensive look at creating pricing strategies that work in both good economic times and bad Written by three preeminent pricing experts at McKinsey & Company, the Second Edition of The Price Advantage is a practical pricing guide for the executive or pricing practitioner who wants to identify, capture, and sustain substantial pricing gains in their business. Pricing is by far the most powerful profit lever that managers can influence. Yet few companies approach pricing in a way that fully capitalizes on its value. This Second Edition, a major revision and extension of the first book, shows you what it takes to achieve the price advantage in today's competitive and complex business environments. Based on in-depth, first-hand experience with thousands of companies, this book provides managers with a pragmatic guide through the maze of pricing issues. It reinforces why pricing excellence is more critical than ever today and then explains state-of-the-art approaches to analyzing and improving your own pricing strategy and execution. Explores the fundamental role of pricing infrastructure in achieving the price advantage Includes new topics such as software and information products pricing, lifecycle pricing, custom-configured products pricing, pricing of high-count product lines, pricing in distributed sales environments, "razor/razor blades" pricing, and tiered products and services pricing Revisits the full range of classic McKinsey pricing tools, including the pocket price waterfall and value maps Engaging and informative, the Second Edition of The Price Advantage will put this essential discipline in perspective.

Author : Wallace Blischke
Publisher : CRC Press
Page : 744 pages
File Size : 49,6 Mb
Release : 2019-11-28
Category : Business & Economics
ISBN : 9781000715729

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Warranty Cost Analysis by Wallace Blischke Pdf

Considers cost and optimization problems from the manufacturer's and the buyer's points of view. The work discusses a variety of warranty policies and the mathematical models for the analysis of related engineering and management issues. All standard consumer product warranties are covered.

Author : Thomas Møller,Mogens Steffensen
Publisher : Cambridge University Press
Page : 263 pages
File Size : 51,9 Mb
Release : 2007-01-18
Category : Business & Economics
ISBN : 9781139462976

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Market-Valuation Methods in Life and Pension Insurance by Thomas Møller,Mogens Steffensen Pdf

In classical life insurance mathematics the obligations of the insurance company towards the policy holders were calculated on artificial conservative assumptions on mortality and interest rates. However, this approach is being superseded by developments in international accounting and solvency standards coupled with other advances enabling a market-based valuation of risk, i.e., its price if traded in a free market. The book describes these approaches, and is the first to explain them in conjunction with more traditional methods. The various chapters address specific aspects of market-based valuation. The exposition integrates methods and results from financial and insurance mathematics, and is based on the entries in a life insurance company's market accounting scheme. The book will be of great interest and use to students and practitioners who need an introduction to this area, and who seek a practical yet sound guide to life insurance accounting and product development.

Author : Ernst Eberlein,Jan Kallsen
Publisher : Springer Nature
Page : 774 pages
File Size : 43,5 Mb
Release : 2019-12-03
Category : Mathematics
ISBN : 9783030261061

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Mathematical Finance by Ernst Eberlein,Jan Kallsen Pdf

Taking continuous-time stochastic processes allowing for jumps as its starting and focal point, this book provides an accessible introduction to the stochastic calculus and control of semimartingales and explains the basic concepts of Mathematical Finance such as arbitrage theory, hedging, valuation principles, portfolio choice, and term structure modelling. It bridges thegap between introductory texts and the advanced literature in the field. Most textbooks on the subject are limited to diffusion-type models which cannot easily account for sudden price movements. Such abrupt changes, however, can often be observed in real markets. At the same time, purely discontinuous processes lead to a much wider variety of flexible and tractable models. This explains why processes with jumps have become an established tool in the statistics and mathematics of finance. Graduate students, researchers as well as practitioners will benefit from this monograph.

Author : Richard Cizik
Publisher : Unknown
Page : 238 pages
File Size : 45,6 Mb
Release : 1984
Category : Christianity and politics
ISBN : 0830710000

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The High Cost of Indifference by Richard Cizik Pdf

Author : Srdjan Stojanovic
Publisher : Springer
Page : 0 pages
File Size : 42,8 Mb
Release : 2011-08-31
Category : Mathematics
ISBN : 0387565590

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Neutral and Indifference Portfolio Pricing, Hedging and Investing by Srdjan Stojanovic Pdf

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. 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).

Author : Charles E. Scott
Publisher : Indiana University Press
Page : 184 pages
File Size : 50,5 Mb
Release : 2007-05-18
Category : Philosophy
ISBN : 9780253117038

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Living with Indifference by Charles E. Scott Pdf

Living with Indifference is about the dimension of life that is utterly neutral, without care, feeling, or personality. In this provocative work that is anything but indifferent, Charles E. Scott explores the ways people have spoken and thought about indifference. Exploring topics such as time, chance, beauty, imagination, violence, and virtue, Scott shows how affirming indifference can be beneficial, and how destructive consequences can occur when we deny it. Scott's preoccupation with indifference issues a demand for focused attention in connection with personal values, ethics, and beliefs. This elegantly argued book speaks to the positive value of diversity and a world that is open to human passion.

Author : Philippe Le Gall
Publisher : Routledge
Page : 357 pages
File Size : 48,6 Mb
Release : 2007-03-22
Category : Business & Economics
ISBN : 9781134352555

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A History of Econometrics in France by Philippe Le Gall Pdf

This text challenges the traditional view of the history of econometrics and provides a more complete story. In doing so, the book sheds light on the hitherto under-researched contribution of French thinkers to econometrics. Fascinating and authoritative, it is a comprehensive overview of what went on to be one of the defining subsets within t

Author : Society for Industrial and Applied Mathematics
Publisher : Unknown
Page : 1194 pages
File Size : 44,7 Mb
Release : 1976
Category : Automatic control
ISBN : UOM:39076002523632

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SIAM Journal on Control and Optimization by Society for Industrial and Applied Mathematics Pdf

Contains research articles on the mathematics and applications of control theory and on those parts of optimization theory concerned with the dynamics of deterministic or stochastic systems in continuous or discrete time or otherwise dealing with differential equations, dynamics, infinite-dimensional spaces, or fundamental issues in variational analysis and geometry.

Author : Nicolae Garleanu,Lasse Heje Pedersen,Allen M. Poteshman
Publisher : Unknown
Page : 68 pages
File Size : 50,8 Mb
Release : 2006
Category : Hedging (Finance)
ISBN : IND:30000164201281

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Demand-based Option Pricing by Nicolae Garleanu,Lasse Heje Pedersen,Allen M. Poteshman Pdf

We model the demand-pressure effect on prices when options cannot be perfectly hedged. The model shows that demand pressure in one option contract increases its price by an amount proportional to the variance of the unhedgeable part of the option. Similarly, the demand pressure increases the price of any other option by an amount proportional to the covariance of their unhedgeable parts. Empirically, we identify aggregate positions of dealers and end users using a unique dataset, and show that demand-pressure effects help explain well-known option-pricing puzzles. First, end users are net long index options, especially out-of-money puts, which helps explain their apparent expensiveness and the smirk. Second, demand patterns help explain the prices of single-stock options.