Indifference Pricing
Editat de René Carmonaen Limba Engleză Hardback – 18 ian 2009
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Specificații
ISBN-13: 9780691138831
ISBN-10: 0691138834
Pagini: 440
Ilustrații: 7 line illus. 3 tables.
Dimensiuni: 164 x 243 x 32 mm
Greutate: 0.73 kg
Editura: Princeton University Press
Locul publicării:Princeton, United States
ISBN-10: 0691138834
Pagini: 440
Ilustrații: 7 line illus. 3 tables.
Dimensiuni: 164 x 243 x 32 mm
Greutate: 0.73 kg
Editura: Princeton University Press
Locul publicării:Princeton, United States
Notă biografică
René Carmona is the Paul M. Wythes '55 Professor of Engineering and Finance in the Department of Operations Research and Financial Engineering at Princeton University. His books include Interest Rate Models and Statistical Analysis of Financial Data in S-Plus.
Descriere
Introduces the concept of indifference pricing in models of discrete time and finite state spaces where duality theory can be exploited readily. This book also discusses utility indifference pricing for diffusion models, and addresses problems of optimal design of derivatives.