Neutral and Indifference Portfolio Pricing, Hedging and Investing: With applications in Equity and FX

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Springer Science & Business Media, Sep 28, 2011 - Mathematics - 263 pages
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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).

 

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Contents

Chapter 1 Background Material
1
Chapter 2 Simple Economies Complete and Incomplete Markets
19
Chapter 3 Investment Portfolio Optimization
39
Chapter 4 Pricing Neutral and Indifference
93
Chapter 5 Hedging
148
Chapter 6 Equity Valuation and Investing Continuoustime Accounting
163
Chapter 7 FX Rates and FX Derivatives
201
Appendix A Model Building Correlations
248
References
257
Index
259
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