Indifference pricing : theory and applications / edited by Rene Carmona.

Format:

Book

Contributor:

Carmona, R. (René)

Series:

Princeton series in financial engineering.

Princeton series in financial engineering

Language:

English

Subjects (All):

Nonlinear pricing--Mathematical models.

Nonlinear pricing.

Prices--Mathematical models.

Prices.

Physical Description:

1 online resource (427 p.)

Edition:

Course Book

Place of Publication:

Princeton : Princeton University Press, c2009.

Language Note:

English

System Details:

Mode of access: World Wide Web.

Summary:

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

Contents:

Frontmatter

Contents

Preface

Part 1. Foundations

Chapter One. The Single Period Binomial Model / Musiela, Marek / Zariphopoulou, Thaleia

Chapter Two. Utility Indifference Pricing: An Overview / Henderson, Vicky / Hobson, David

Part 2. Diffusion Models

Chapter Three. Pricing, Hedging, And Designing Derivatives With Risk Measures / Barrieu, Pauline / Karoui, Nicole El

Chapter Four. From Markovian To Partially Observable Models / Carmona, René

Part 3. Applications

Chapter Five. Portfolio Optimization / Ilhan, Aytac / Jonsson, Mattias / Sircar, Ronnie

Chapter Six. Indifference Pricing Of Defaultable Claims / Bielecki, Tomasz R. / Jeanblanc, Monique

Chapter Seven. Applications To Weather Derivatives And Energy Contracts / Carmona, René

Part 4. Complements

Chapter Eight. BSDEs And Applications / Karoui, Nicole El / Hamadène, Said / Matoussi, Anis

Chapter Nine. Duality Methods / Elliott, Robert J. / Hoek, John van der

Bibliography

Contributors

Notation Index

Author Index

Subject Index

Notes:

Description based upon print version of record.

Includes bibliographical references and index.

ISBN:

9786612531439

9781282531437

1282531433

9781400833115

1400833116

OCLC:

593337132