Sale!

Robust Static Super Replication of Barrier Options Radon Series on Computational and Applied Mathematics 1st Edition by Jan H Maruhn ISBN 3110204681 9783110204681

Original price was: $50.00.Current price is: $35.00.

Robust Static Super Replication of Barrier Options Radon Series on Computational and Applied Mathematics 1st Edition Jan H. Maruhn Digital Instant Download

Author(s): Jan H. Maruhn
ISBN(s): 9783110204681, 3110204681
Edition: 1
File Details: PDF, 1.47 MB
Year: 2009
Language: english
SKU: EB-1375972 Category: Tag:

Robust Static Super Replication of Barrier Options Radon Series on Computational and Applied Mathematics 1st Edition by Jan H Maruhn – Ebook PDF Instant Download/Delivery: 3110204681, 9783110204681
Full download Robust Static Super Replication of Barrier Options Radon Series on Computational and Applied Mathematics 1st Edition after payment

Product details:

ISBN 10: 3110204681 
ISBN 13: 9783110204681
Author: Jan H Maruhn

Static hedge portfolios for barrier options are very sensitive with respect to changes of the volatility surface. To prevent potentially significant hedging losses this book develops a static super-replication strategy with market-typical robustness against volatility, skew and liquidity risk as well as model errors. Empirical results and various numerical examples confirm that the static superhedge successfully eliminates the risk of a changing volatility surface. Combined with associated sub-replication strategies this leads to robust price bounds for barrier options which are also relevant in the context of dynamic hedging. The mathematical techniques used to prove appropriate existence, duality and convergence results range from financial mathematics, stochastic and semi-infinite optimization, convex analysis and partial differential equations to semidefinite programming.

Robust Static Super Replication of Barrier Options Radon Series on Computational and Applied Mathematics 1st Table of contents:

1. Theoretical Background
2. Static Hedging of Barrier Options
3. An Optimization Approach to Static Super-Replication
4. Reformulation as a Semi-Infinite Problem
5. Eliminating Model Parameter Uncertainty
6. Modifications and Extensions
7. Avoiding Model Errors
8. Empirical Hedge Performance
9. Summary and Outlook

People also search for Robust Static Super Replication of Barrier Options Radon Series on Computational and Applied Mathematics 1st:

    
x-static
    
static-x hyper
    
robust cell type decomposition
    
robust rl
    
quasi-static processes

Tags: Jan H Maruhn, Robust Static, Radon Series