Indifference Pricing: Theory and Applications
Indifference Pricing: Theory and Applications
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DOI：
10.1515/9781400833115
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发表时间：
2008-01
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影响因子：
--
通讯作者：
R. Carmona
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文献类型：
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作者：
R. Carmona
这是第一本书的新兴领域的效用无差别定价的衍生品估值不完全市场。Rene Carmona汇集了该领域的领先专家，为学生，学者和研究人员提供了明确的介绍。直到最近，金融数学家和工程师才开发出假设完整市场的定价和对冲程序。但市场通常是不完整的，不可能对所有随机性来源进行对冲。无差别定价提供了在更现实的市场假设下开发的尖端程序。这本书开始介绍的概念无差别定价在最简单的模型离散时间和有限状态空间的对偶理论可以很容易地利用。它移动到一个更技术性的讨论效用无差别定价的扩散模型，然后解决问题的衍生品的最优设计，通过扩展的无差别定价范式超越了领域的效用函数到领域的动态风险措施。然后重点转向应用，包括投资组合优化，违约证券的定价，以及天气和商品衍生品。这本书的特点是原始的数学结果和广泛的参考书目和索引。除了编辑，贡献者是宝琳·巴瑞厄，托马斯·R。Bielecki、Nicole El Karoui、Robert J. Elliott、Said Hamadene、Vicky亨德森、大卫霍布森、Aytac Ilhan、Monique Jeanblanc、Mattias Jonsson、Anis Matoussi、Marek Musiela、Ronnie Sircar、John货车der Hoek和Thaleia Zariphopoulou。- 第一本关于效用无差别定价的书-解释了无差别定价的基本原理，从简单的模型到最技术的模型-超越效用函数来分析最优风险转移和动态风险度量理论-涵盖非马尔可夫和部分观察模型和应用于投资组合优化，可违约证券，静态和二次对冲，天气衍生品，包括广泛的参考书目和索引-为博士生、研究人员和专业人员提供必要的阅读
This is the first book about the emerging field of utility indifference pricing for valuing derivatives in incomplete markets. Rene 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 Hamadene, 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