000			03752nam a22004575i 4500
001			978-0-387-71418-9
003			DE-He213
005			20250710084012.0
007			cr nn 008mamaa
008			110829s2012 xxu| s |||| 0|eng d
020			_a9780387714189 _a99780387714189
024	7		_a10.1007/978-0-387-71418-9 _2doi
082	0	4	_a519 _223
100	1		_aStojanovic, Srdjan. _eauthor.
245	1	0	_aNeutral and Indifference Portfolio Pricing, Hedging and Investing _h[recurso electrónico] : _bWith applications in Equity and FX / _cby Srdjan Stojanovic.
264		1	_aNew York, NY : _bSpringer New York : _bImprint: Springer, _c2012.
300			_aXIV, 263p. 6 illus. _bonline resource.
336			_atext _btxt _2rdacontent
337			_acomputer _bc _2rdamedia
338			_arecurso en línea _bcr _2rdacarrier
347			_atext file _bPDF _2rda
505	0		_aPreface -- 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			_aThis 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	_aMATHEMATICS.
650		0	_aDIFFERENTIAL EQUATIONS, PARTIAL.
650		0	_aFINANCE.
650		0	_aCOMPUTER SCIENCE _xMATHEMATICS.
650	1	4	_aMATHEMATICS.
650	2	4	_aQUANTITATIVE FINANCE.
650	2	4	_aFINANCIAL ECONOMICS.
650	2	4	_aCOMPUTATIONAL MATHEMATICS AND NUMERICAL ANALYSIS.
650	2	4	_aPARTIAL DIFFERENTIAL EQUATIONS.
650	2	4	_aAPPLICATIONS OF MATHEMATICS.
710	2		_aSpringerLink (Online service)
773	0		_tSpringer eBooks
776	0	8	_iPrinted edition: _z9780387714172
856	4	0	_uhttp://dx.doi.org/10.1007/978-0-387-71418-9 _zVer el texto completo en las instalaciones del CICY
912			_aZDB-2-SMA
942			_2ddc _cER
999			_c58244 _d58244