Indifference Pricing by Rene Carmona
Look inside with Google Book Preview
Indifference Pricing
By Rene Carmona

Indifference Pricing

Theory and Applications

Edited by See other recent books by Rene Carmona
Format: Hardback

Normal Price: $206.00
Your Price: $185.40 AUD, inc. GST
Shipping: $7.95 per order
You Save: $20.60! (10% off normal price)
Plus...earn $9.27 in Boomerang Bucks
Availability: Available Available to Backorder, No Due Date for Supply, Not for Xmas



Indifference Pricing by Rene Carmona

Book Description

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

Buy Indifference Pricing book by Rene Carmona from Australia's Online Bookstore, Boomerang Books.


Book Details

ISBN: 9780691138831
ISBN-10: 0691138834
Format: Hardback
(229mm x 152mm x 33mm)
Pages: 440
Imprint: Princeton University Press
Publisher: Princeton University Press
Publish Date: 25-Dec-2008
Country of Publication: United States

Books By Author Rene Carmona

Statistical Analysis of Financial Data in R by Rene Carmona Statistical Analysis of Financial Data in R, Hardback (December 2013)

Addressing the most challenging issues faced by financial engineers, this book shows how sophisticated mathematics and modern statistical techniques can be used in concrete financial problems. Includes practical examples solved in the R computing environment.

» View all books by Rene Carmona

Reviews

» Have you read this book? We'd like to know what you think about it - write a review about Indifference Pricing book by Rene Carmona and you'll earn 50c in Boomerang Bucks loyalty dollars (you must be a member - it's free to sign up!)

Write a book review


Author Biography - Rene Carmona

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".

Boomerang Bucks close

For every $20 you spend on books, you will receive $1 in Boomerang Bucks loyalty dollars. You can use your Boomerang Bucks as a credit towards a future purchase from Boomerang Books. Note that you must be a Member (free to sign up) and that conditions do apply.

Recent books by Rene Carmona close
Statistical Analysis of Financial Data in R by Rene Carmona
»
BoomerangBooks.com.au close