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

DOI10.1007/978-0-387-71418-9MaRDI QIDQ3083149zbMATH OpenOpenAlexFDO

Authors Srdjan D. Stojanovic

Publication date 18 March 2011

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

zbMATH Keywords

\texttt{Mathematica}equity valuationfundamental matrix of derivatives pricing and hedgingincomplete marketsinvestment portfolio optimizationneutral indifference pricingpartial differential equationsstochastic differential equationsstochastic volatility

Mathematics Subject Classification ID

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

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(3)

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

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