Verwandte Artikel zu Robust Static Super-Replication of Barrier Options:...
Robust Static Super-Replication of Barrier Options: 7 (Radon Series on Computational and Applied Mathematics, 7) - Hardcover
Inhaltsangabe
Static hedge portfolios for barrier options are very sensitive with respect to changes of the volatility surface. To prevent potentially significant hedging losses this book develops a static super-replication strategy with market-typical robustness against volatility, skew and liquidity risk as well as model errors. Combined with associated sub-replication strategies this leads to empirically robust price bounds for barrier options which are also relevant in the context of dynamic hedging.
Die Inhaltsangabe kann sich auf eine andere Ausgabe dieses Titels beziehen.
Über die Autorin bzw. den Autor
Jan H. Maruhn, UniCredit Markets & Investment Banking, Munich, Germany.
„Über diesen Titel“ kann sich auf eine andere Ausgabe dieses Titels beziehen.
Neu kaufen
Diesen Artikel anzeigen
EUR 29,95
EUR 4,50 für den Versand innerhalb von/der Deutschland
Versandziele, Kosten & Dauer
Suchergebnisse für Robust Static Super-Replication of Barrier Options:...
Foto des Verkäufers
Robust Static Super-Replication of Barrier Options
Anbieter: SKULIMA Wiss. Versandbuchhandlung, Westhofen, Deutschland
Verkäuferbewertung 5 von 5 Sternen
Zustand: Neu. Static hedge portfolios for barrier options are very sensitive with respect to changes of the volatility surface. To prevent potentially significant hedging losses this book develops a static super-replication strategy with market-typical robustness against volatility, skew and liquidity risk as well as model errors. Combined with associated sub-replication strategies this leads to empirically robust price bounds for barrier options which are also relevant in the context of dynamic hedging. XII,197 Seiten, gebunden (Walter de Gruyter Verlag 2009). Statt EUR 179,95. Gewicht: 480 g - Gebunden/Gebundene Ausgabe - Sprache: Englisch. Bestandsnummer des Verkäufers 86836
Anzahl: 2 verfügbar
Foto des Verkäufers
Robust Static Super-Replication of Barrier Options
Print-on-DemandAnbieter: moluna, Greven, Deutschland
Verkäuferbewertung 5 von 5 Sternen
Zustand: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. I always felt that Jan Maruhn would be the only person on the globe who knows how to statically hedge barrier options. Now I am even more pleased to see th. Bestandsnummer des Verkäufers 26739219
Anzahl: Mehr als 20 verfügbar
Foto des Verkäufers
Robust Static Super-Replication of Barrier Options
Anbieter: AHA-BUCH GmbH, Einbeck, Deutschland
Verkäuferbewertung 5 von 5 Sternen
Buch. Zustand: Neu. Druck auf Anfrage Neuware - Printed after ordering - Static hedge portfolios for barrier options are very sensitive with respect to changes of the volatility surface. To prevent potentially significant hedging losses this book develops a static super-replication strategy with market-typical robustness against volatility, skew and liquidity risk as well as model errors. Empirical results and various numerical examples confirm that the static superhedge successfully eliminates the risk of a changing volatility surface. Combined with associated sub-replication strategies this leads to robust price bounds for barrier options which are also relevant in the context of dynamic hedging. The mathematical techniques used to prove appropriate existence, duality and convergence results range from financial mathematics, stochastic and semi-infinite optimization, convex analysis and partial differential equations to semidefinite programming. Bestandsnummer des Verkäufers 9783110204681
Anzahl: 1 verfügbar
Foto des Verkäufers
Robust Static Super-Replication of Barrier Options
Verlag:
De Gruyter, De Gruyter Jul 2009, 2009
ISBN 10: 3110204681
ISBN 13: 9783110204681
Neu
Hardcover
Anbieter: buchversandmimpf2000, Emtmannsberg, BAYE, Deutschland
Verkäuferbewertung 5 von 5 Sternen
Buch. Zustand: Neu. This item is printed on demand - Print on Demand Titel. Neuware -Static hedge portfolios for barrier options are very sensitive with respect to changes of the volatility surface. To prevent potentially significant hedging losses this book develops a static super-replication strategy with market-typical robustness against volatility, skew and liquidity risk as well as model errors. Empirical results and various numerical examples confirm that the static superhedge successfully eliminates the risk of a changing volatility surface. Combined with associated sub-replication strategies this leads to robust price bounds for barrier options which are also relevant in the context of dynamic hedging. The mathematical techniques used to prove appropriate existence, duality and convergence results range from financial mathematics, stochastic and semi-infinite optimization, convex analysis and partial differential equations to semidefinite programming.Walter de Gruyter GmbH, Genthiner Strasse 13, 10785 Berlin 212 pp. Englisch. Bestandsnummer des Verkäufers 9783110204681
Anzahl: 1 verfügbar
Foto des Verkäufers
Robust Static Super-Replication of Barrier Options
Verlag:
De Gruyter, De Gruyter Jul 2009, 2009
ISBN 10: 3110204681
ISBN 13: 9783110204681
Neu
Hardcover
Anbieter: BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, Deutschland
Verkäuferbewertung 5 von 5 Sternen
Buch. Zustand: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -Static hedge portfolios for barrier options are very sensitive with respect to changes of the volatility surface. To prevent potentially significant hedging losses this book develops a static super-replication strategy with market-typical robustness against volatility, skew and liquidity risk as well as model errors. Empirical results and various numerical examples confirm that the static superhedge successfully eliminates the risk of a changing volatility surface. Combined with associated sub-replication strategies this leads to robust price bounds for barrier options which are also relevant in the context of dynamic hedging. The mathematical techniques used to prove appropriate existence, duality and convergence results range from financial mathematics, stochastic and semi-infinite optimization, convex analysis and partial differential equations to semidefinite programming. 212 pp. Englisch. Bestandsnummer des Verkäufers 9783110204681
Anzahl: 2 verfügbar
Beispielbild für diese ISBN
Robust Static Super-Replication of Barrier Options (Radon Series on Computational and Applied Mathematics, 7)
Anbieter: Ria Christie Collections, Uxbridge, Vereinigtes Königreich
Verkäuferbewertung 5 von 5 Sternen
Zustand: New. In. Bestandsnummer des Verkäufers ria9783110204681_new
Anzahl: Mehr als 20 verfügbar
Beispielbild für diese ISBN
Robust Static Super-Replication of Barrier Options
Print-on-DemandAnbieter: PBShop.store UK, Fairford, GLOS, Vereinigtes Königreich
Verkäuferbewertung 5 von 5 Sternen
HRD. Zustand: New. New Book. Delivered from our UK warehouse in 4 to 14 business days. THIS BOOK IS PRINTED ON DEMAND. Established seller since 2000. Bestandsnummer des Verkäufers L1-9783110204681
Anzahl: Mehr als 20 verfügbar
Beispielbild für diese ISBN
Robust Static Super-Replication of Barrier Options
Print-on-DemandAnbieter: PBShop.store US, Wood Dale, IL, USA
Verkäuferbewertung 5 von 5 Sternen
HRD. Zustand: New. New Book. Shipped from UK. THIS BOOK IS PRINTED ON DEMAND. Established seller since 2000. Bestandsnummer des Verkäufers L1-9783110204681
Anzahl: Mehr als 20 verfügbar
Beispielbild für diese ISBN
Robust Static Super-Replication of Barrier Options (Radon Series on Computational and Applied Mathematics, 7)
Anbieter: Best Price, Torrance, CA, USA
Verkäuferbewertung 5 von 5 Sternen
Zustand: New. SUPER FAST SHIPPING. Bestandsnummer des Verkäufers 9783110204681
Anzahl: 2 verfügbar
Foto des Verkäufers
Robust Static Super-Replication of Barrier Options
Anbieter: Rarewaves USA, OSWEGO, IL, USA
Verkäuferbewertung 5 von 5 Sternen
Hardback. Zustand: New. 1st. Static hedge portfolios for barrier options are very sensitive with respect to changes of the volatility surface. To prevent potentially significant hedging losses this book develops a static super-replication strategy with market-typical robustness against volatility, skew and liquidity risk as well as model errors. Empirical results and various numerical examples confirm that the static superhedge successfully eliminates the risk of a changing volatility surface. Combined with associated sub-replication strategies this leads to robust price bounds for barrier options which are also relevant in the context of dynamic hedging. The mathematical techniques used to prove appropriate existence, duality and convergence results range from financial mathematics, stochastic and semi-infinite optimization, convex analysis and partial differential equations to semidefinite programming. Bestandsnummer des Verkäufers LU-9783110204681
Anzahl: Mehr als 20 verfügbar