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Indifference Pricing "Theory And Applications"

Theory And Applications

Indifference Pricing "Theory And Applications". Theory And Applications

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  • ISBN:9780691138831
  • Editorial: Princeton University Press
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  • Dimensiones: 0 cm x 0 cm
  • Nº Pág.:440
  • Idiomas:Ingles

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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; and provides, essential reading for PhD students, researchers, and professionals.

Pt. 1 Foundations 1
Ch. 1 The Single Period Binomial Model by Marek Musiela and Thaleia Zariphopoulou 3
Ch. 2 Utility Indifference Pricing: An Overview by Vicky Henderson and David Hobson 44
Pt. 2 Diffusion Models 75
Ch. 3 Pricing, Hedging, and Designing Derivatives with Risk Measures by Pauline Barrieu and Nicole El Karoui 77
Ch. 4 From Markovian to Partially Observable Models by Rene Carmona 147
Pt. 3 Applications 181
Ch. 5 Portfolio Optimization by Aytac Ilhan and Mattias Jonsson and Ronnie Sircar 183
Ch. 6 Indifference Pricing of Defaultable Claims by Tomasz R. Bielecki and Monique Jeanblanc 211
Ch. 7 Applications to Weather Derivatives and Energy Contracts by Rene Carmona 241
Pt. 4 Complements 265
Ch. 8 BSDEs and Applications by Nicole El Karoui and Said Hamadene and Anis Matoussi 267
Ch. 9 Duality Methods by Robert J. Elliott and John van der Hoek 321
Bibliography 387

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