Neutral and indifference portfolio pricing, hedging and investing. With applications in Equity and FX. (Q3083149)
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scientific article; zbMATH DE number 5868048
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| English | Neutral and indifference portfolio pricing, hedging and investing. With applications in Equity and FX. |
scientific article; zbMATH DE number 5868048 |
Statements
Neutral and Indifference Portfolio Pricing, Hedging and Investing (English)
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18 March 2011
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incomplete markets
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investment portfolio optimization
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fundamental matrix of derivatives pricing and hedging
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equity valuation
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neutral indifference pricing
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stochastic volatility
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partial differential equations
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stochastic differential equations
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\texttt{Mathematica}
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0.7676068544387817
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0.746897280216217
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0.7458404898643494
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0.7430974841117859
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