Neutral and indifference portfolio pricing, hedging and investing. With applications in Equity and FX.

DOI10.1007/978-0-387-71418-9zbMATH Open1229.91009OpenAlexW2493490240MaRDI QIDQ3083149FDOQ3083149

Authors: Srdjan D. Stojanovic 

Publication date: 18 March 2011

Full work available at URL: https://doi.org/10.1007/978-0-387-71418-9

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zbMATH Keywords

partial differential equationsstochastic differential equationsstochastic volatilityincomplete marketsequity valuationinvestment portfolio optimization\texttt{Mathematica}fundamental matrix of derivatives pricing and hedgingneutral indifference pricing

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Portfolio theory (91G10) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02)

Cited In (3)

• Pricing illiquid options with \(N+1\) liquid proxies using mixed dynamic-static hedging
• Interest rates risk-premium and shape of the yield curve
• Neutral and indifference pricing with stochastic correlation and volatility

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