Fundamentals and advanced techniques in derivatives hedging. Translated from the French

DOI10.1007/978-3-319-38990-5MaRDI QIDQ289665zbMATH OpenOpenAlexFDO

Authors Bruno Bouchard, Jean-Francois Chassagneux

Publication date 30 May 2016

Published in Universitext (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-38990-5

zbMATH Keywords

Malliavin calculusFeynman-Kac formulalocal volatilityquantile hedgingstochastic volatilityhedgingmathematical financederivatives pricinggeometric dynamic programming principlesuper-hedging

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Portfolio theory (91G10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Viscosity solutions to PDEs (35D40) Applications of stochastic analysis (to PDEs, etc.) (60H30) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Financial applications of other theories (91G80)

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