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

DOI10.1007/978-3-319-38990-5zbMATH Open1350.91001OpenAlexW2489390209MaRDI QIDQ289665FDOQ289665

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

Recommendations

• Publication:4484762
• Arbitrage Theory in Continuous Time
• Mathematical models of financial derivatives
• Financial Derivatives in Theory and Practice
• scientific article; zbMATH DE number 5894935

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)

Cited In (11)

• Financial mathematics. A comprehensive treatment
• Equity derivatives. Corporate and institutional applications
• Partial hedging in rough volatility models
• Valuation of derivative products. From fundamental theorems to coverage under risk constraint
• Title not available (Why is that?)
• Valuation of general contingent claims with short selling bans: an equal-risk pricing approach
• The fundamental theorem of derivative trading -- exposition, extensions and experiments
• Numerical approximation of general Lipschitz BSDEs with branching processes
• A \(\mathbb{C}^{0, 1}\)-functional Itô's formula and its applications in mathematical finance
• Neutral and indifference portfolio pricing, hedging and investing. With applications in Equity and FX.
• Monte-Carlo methods for the pricing of American options: a semilinear BSDE point of view

This page was built for publication: Fundamentals and advanced techniques in derivatives hedging. Translated from the French

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q289665)