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

DOI10.1007/978-3-319-38990-5zbMath1350.91001OpenAlexW2489390209MaRDI QIDQ289665

Jean-François Chassagneux, Bruno Bouchard

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

zbMATH Keywords

hedgingstochastic volatilityMalliavin calculusFeynman-Kac formuladerivatives pricingmathematical financequantile hedginglocal volatilitygeometric dynamic programming principlesuper-hedging

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07) Portfolio theory (91G10) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Viscosity solutions to PDEs (35D40)

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A \(\mathbb{C}^{0, 1}\)-functional Itô's formula and its applications in mathematical finance ⋮ Monte-Carlo methods for the pricing of American options: a semilinear BSDE point of view ⋮ Numerical approximation of general Lipschitz BSDEs with branching processes ⋮ VALUATION OF GENERAL CONTINGENT CLAIMS WITH SHORT SELLING BANS: AN EQUAL-RISK PRICING APPROACH

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