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

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)

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Cited in

(3)

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

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