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Model-free Hedging - A Martingale Optimal Transport Viewpoint (Hardcover)
Pierre Henry-LabordereModel-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.
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Product Description
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.
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Product Details
General
Imprint | Crc Press |
Country of origin | United Kingdom |
Series | Chapman and Hall/CRC Financial Mathematics Series |
Release date | May 2017 |
Availability | Expected to ship within 12 - 17 working days |
First published | 2017 |
Authors | Pierre Henry-Labordere |
Dimensions | 234 x 156 x 17mm (L x W x T) |
Format | Hardcover |
Pages | 190 |
ISBN-13 | 978-1-138-06223-8 |
Barcode | 9781138062238 |
Categories | |
LSN | 1-138-06223-5 |
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