Model-free Hedging

A Martingale Optimal Transport Viewpoint

Pierre Henry-Labordere (Autor)

Buch | Hardcover

190 Seiten

2017
CRC Press (Verlag)
978-1-138-06223-8 (ISBN)

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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.

Pierre Henry-Labordere works in the Global Markets Quantitative Research team at Societe Generale. He holds a Ph.D. in Theoretical Physics from Ecole Normale Superieure (Paris) and a habilitation thesis in Applied Mathematics from University Paris-Dauphine. More importantly, Pierre has a longstanding experience in tek diving, particularly mixed-gas closed-circuit rebreathers. Pierre is also professor (charge de cours) at Ecole Polytechnique and research associate at CMAP (Ecole Polytechnique). He was the recipient of the 2013 "Quant of the Year" award from Risk magazine and the 2014 Institute Louis Bachelier award for his paper on MOT written in collaboration with M. Beiglbock and F. Penkner from University of Vienna.

Pricing and Hedging without Tears. Martingale Optimal Transport. Model-independent Otions. Continuous-time MOT and Skorokhod Embedding. References.

Erscheinungsdatum	29.06.2017
Reihe/Serie	Chapman and Hall/CRC Financial Mathematics Series
Zusatzinfo	8 Tables, black and white; 12 Line drawings, black and white; 10 Halftones, black and white; 22 Illustrations, black and white
Verlagsort	London
Sprache	englisch
Maße	156 x 234 mm
Gewicht	420 g
Themenwelt	Mathematik / Informatik ► Mathematik ► Angewandte Mathematik
Themenwelt	Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung
ISBN-10	1-138-06223-5 / 1138062235
ISBN-13	978-1-138-06223-8 / 9781138062238
Zustand	Neuware