MARC details
| 000 -LEADER |
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03752nam a22004575i 4500 |
| 001 - CONTROL NUMBER |
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| control field |
978-0-387-71418-9 |
| 003 - CONTROL NUMBER IDENTIFIER |
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| control field |
DE-He213 |
| 005 - DATE AND TIME OF LATEST TRANSACTION |
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| control field |
20250710084012.0 |
| 007 - PHYSICAL DESCRIPTION FIXED FIELD--GENERAL INFORMATION |
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cr nn 008mamaa |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION |
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110829s2012 xxu| s |||| 0|eng d |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
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| International Standard Book Number |
9780387714189 |
| -- |
99780387714189 |
| 024 7# - OTHER STANDARD IDENTIFIER |
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| Standard number or code |
10.1007/978-0-387-71418-9 |
| Source of number or code |
doi |
| 082 04 - DEWEY DECIMAL CLASSIFICATION NUMBER |
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| Classification number |
519 |
| Edition information |
23 |
| 100 1# - MAIN ENTRY--PERSONAL NAME |
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| Personal name |
Stojanovic, Srdjan. |
| Relator term |
author. |
| 245 10 - TITLE STATEMENT |
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| Title |
Neutral and Indifference Portfolio Pricing, Hedging and Investing |
| Medium |
[recurso electrónico] : |
| Remainder of title |
With applications in Equity and FX / |
| Statement of responsibility, etc. |
by Srdjan Stojanovic. |
| 264 #1 - PRODUCTION, PUBLICATION, DISTRIBUTION, MANUFACTURE, AND COPYRIGHT NOTICE |
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| Place of production, publication, distribution, manufacture |
New York, NY : |
| Name of producer, publisher, distributor, manufacturer |
Springer New York : |
| -- |
Imprint: Springer, |
| Date of production, publication, distribution, manufacture, or copyright notice |
2012. |
| 300 ## - PHYSICAL DESCRIPTION |
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| Extent |
XIV, 263p. 6 illus. |
| Other physical details |
online resource. |
| 336 ## - CONTENT TYPE |
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| Content type term |
text |
| Content type code |
txt |
| Source |
rdacontent |
| 337 ## - MEDIA TYPE |
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| Media type term |
computer |
| Media type code |
c |
| Source |
rdamedia |
| 338 ## - CARRIER TYPE |
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| Carrier type term |
recurso en línea |
| Carrier type code |
cr |
| Source |
rdacarrier |
| 347 ## - DIGITAL FILE CHARACTERISTICS |
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| File type |
text file |
| Encoding format |
PDF |
| Source |
rda |
| 505 0# - FORMATTED CONTENTS NOTE |
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| Formatted contents note |
Preface -- Background Material -- Simple economies-complete and incomplete markets -- Investment Portfolio Optimization.-Pricing: Neutral and Indifference -- Hedging -- Equity Valuation and Investing -- FX Rates and FX Derivatives -- Appendix -- References.-. |
| 520 ## - SUMMARY, ETC. |
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| Summary, etc. |
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. While there are many books on the financial mathematics of incomplete markets based on probability, and equivalent martingale measure approach to pricing, this book is based solely on the analytical aspects of stochastic control, or more precisely, portfolio optimization. Namely, relying solely on portfolio optimization, neutral and indifference pricing as well as hedging methodologies were fully developed in the context of arbitrary diffusive Markovian market models and portfolios of contracts. That was made possible by some recent discoveries, the most specific one being a recently found matrix inverse - the fundamental matrix of derivatives pricing and hedging. This approach, while very general, is very feasible for practical implementations. So, many examples are fully derived. The reader will get the full understanding of the relationship between neutral and indifference pricing, how to implement either one of these pricing methodologies, how to implement hedging methodologies, and how to apply all these in equity portfolio valuations and foreign exchange. 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). |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name entry element |
MATHEMATICS. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name entry element |
DIFFERENTIAL EQUATIONS, PARTIAL. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name entry element |
FINANCE. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name entry element |
COMPUTER SCIENCE |
| General subdivision |
MATHEMATICS. |
| 650 14 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name entry element |
MATHEMATICS. |
| 650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name entry element |
QUANTITATIVE FINANCE. |
| 650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name entry element |
FINANCIAL ECONOMICS. |
| 650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name entry element |
COMPUTATIONAL MATHEMATICS AND NUMERICAL ANALYSIS. |
| 650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name entry element |
PARTIAL DIFFERENTIAL EQUATIONS. |
| 650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name entry element |
APPLICATIONS OF MATHEMATICS. |
| 710 2# - ADDED ENTRY--CORPORATE NAME |
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| Corporate name or jurisdiction name as entry element |
SpringerLink (Online service) |
| 773 0# - HOST ITEM ENTRY |
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| Title |
Springer eBooks |
| 776 08 - ADDITIONAL PHYSICAL FORM ENTRY |
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| Relationship information |
Printed edition: |
| International Standard Book Number |
9780387714172 |
| 856 40 - ELECTRONIC LOCATION AND ACCESS |
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| Uniform Resource Identifier |
<a href="http://dx.doi.org/10.1007/978-0-387-71418-9">http://dx.doi.org/10.1007/978-0-387-71418-9</a> |
| Public note |
Ver el texto completo en las instalaciones del CICY |
| 912 ## - |
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| -- |
ZDB-2-SMA |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) |
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| Source of classification or shelving scheme |
Dewey Decimal Classification |
| Koha item type |
Libros electrónicos |
