Accuracy and precision
Adapted process
And Interest
Arbitrage
Barrier option
Basis risk
Bellman equation
Binomial distribution
Calculation
Call option
Cash flow
Category=KCA
Category=KFF
Central limit theorem
Coherent risk measure
Convenience yield
Credit spread (options)
Diversification (finance)
Duality (optimization)
Dynamic programming
Entropic risk measure
eq_bestseller
eq_business-finance-law
eq_isMigrated=1
eq_isMigrated=2
eq_nobargain
eq_non-fiction
Expected shortfall
Expected utility hypothesis
Exponential utility
Fair value
Feynman-Kac formula
Forward contract
Geometric Brownian motion
Girsanov theorem
Incomplete markets
Insurance
Kalman filter
Kullback-Leibler divergence
Lipschitz continuity
Local volatility
Loss function
Mark-to-market accounting
Market portfolio
Market price
Markov model
Martingale (probability theory)
Mathematical finance
Mathematical optimization
Nonlinear pricing
Numeraire
Optimization problem
Partial equilibrium
Path dependence
Plain vanilla
Portfolio optimization
Predictable process
Preference (economics)
Pricing
Probability
Probability measure
Put option
Quantity
Real options valuation
Residual risk
Risk aversion
Risk management
Risk-neutral measure
Short sale (real estate)
Stochastic control
Stochastic differential equation
Stochastic discount factor
Stochastic volatility
Trading strategy
Utility
Utility maximization problem
Wealth
Weather derivative
Product details
- ISBN 9780691138831
- Weight: 709g
- Dimensions: 152 x 235mm
- Publication Date: 18 Jan 2009
- Publisher: Princeton University Press
- Publication City/Country: US
- Product Form: Hardback
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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 * Provides essential reading for PhD students, researchers, and professionals
Rene Carmona is the Paul M. Wythes '55 Professor of Engineering and Finance in the Department of Operations Research and Financial Engineering at Princeton University. His books include "Interest Rate Models and Statistical Analysis of Financial Data in S-Plus".
