Model-free Hedging: A Martingale Optimal Transport Viewpoint focuses on the computation of model-independent bounds for exotic options consistent with market prices of liquid instruments such as Vanilla options. The author gives an overview of Martingale Optimal Transport, highlighting the differences between the optimal transport and its martingale counterpart. This topic is then discussed in the context of mathematical finance.
| ISBN: | 9781138062238 |
| Publication date: | 15th May 2017 |
| Author: | Pierre HenryLabordère |
| Publisher: | Chapman & Hall/CRC an imprint of CRC Press |
| Format: | Hardback |
| Pagination: | 190 pages |
| Series: | Chapman & Hall/CRC Financial Mathematics Series |
| Genres: |
Probability and statistics Investment and securities |
Model-free Hedging: A Martingale Optimal Transport Viewpoint focuses on the computation of model-independent bounds for exotic options consistent with market prices of liquid instruments such as Vanilla options. The author gives an overview of Martingale Optimal Transport, highlighting the differences between the optimal transport and its martingale counterpart.
Model-Free Hedging features in the following genres: Applied mathematics
Hardback. £93.59, down from the £103.99 cover price. Not Available.
Model-Free Hedging was written by Pierre HenryLabordère and published by Chapman & Hall/CRC an imprint of CRC Press
Model-Free Hedging has 190 pages
Yes it is part of Chapman & Hall/CRC Financial Mathematics Series series
£93.59, reduced from £103.99. Not Available.