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  • 1
    Online Resource
    Online Resource
    Robust static super replication of barrier options (2009)
    Berlin [u.a.] : De Gruyter
    Details
    UID:
    gbv_640985599
    Format: Online-Ressource
    Edition: De Gruyter reference global Online-Ausg
    ISBN: 9783110208511
    Series Statement: Radon Series on Computational and Applied Mathematics 7
    Content: Main description: 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. Combined with associated sub-replication strategies this leads to empirically robust price bounds for barrier options which are also relevant in the context of dynamic hedging.
    Content: 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. Combined with associated sub-replication strategies this leads to empirically robust price bounds for barrier options which are also relevant in the context of dynamic hedging.
    Content: Review text: "I always felt that Jan Maruhn would be the only person on the globe who knows how to statically hedge barrier options. Now I am even more pleased to see that he is making a fully guided tour available as a book. For decades many papers have been contributed to this core problem by many authors. Many of the suggestions worked well on a piece of paper, none of them ever worked in practice. Jan's book is the Odyssey of the barrier hedging problem, that ends with a case study on how his solution works and performs in real markets. Anybody researching in or trading barrier options should read this book and pick up the entire numerical toolbox on the way." Uwe Wystup, CEO MathFinance AG
    Note: Zugl.: Trier, Univ., Diss., 2007 , Online-Ausg.
    Additional Edition: ISBN 9783110208511
    Additional Edition: Erscheint auch als Druck-Ausgabe ISBN 978-3-11-020851-1
    Language: English
    Subjects: Mathematics
    RVK:
    SK 870
    Keywords: Barrier options ; Volatilität ; Hedging ; Optimierung
    DOI: 10.1515/9783110208511
    URL: Volltext
    URL: Volltext  (lizenzpflichtig)
    URL: lizenzpflichtig
    URL: Cover
    URL: Cover
    URL: Cover
    Author information: Maruhn, Jan H.
    Library Location Call Number Volume/Issue/Year Availability
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    Online Resource
    Online Access
    Open Access Request
    UB Potsdam
  • 2
    Online Resource
    Online Resource
    Robust Static Super-Replication of Barrier Options / (2009)
    Berlin ;Boston :De Gruyter,
    Details
    UID:
    edocfu_9958353744702883
    Format: 1 online resource (209p.): , Figs. and tabs.
    ISBN: 9783110208511
    Series Statement: Radon Series on Computational and Applied Mathematics ; 7
    Content: 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. Combined with associated sub-replication strategies this leads to empirically robust price bounds for barrier options which are also relevant in the context of dynamic hedging.
    Note: Frontmatter -- , 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 -- , A. General Existence Theorem -- , B. Source Code -- , Backmatter , In English.
    Additional Edition: ISBN 978-3-11-020468-1
    Language: English
    DOI: 10.1515/9783110208511
    URL: https://doi.org/10.1515/9783110208511
    Library Location Call Number Volume/Issue/Year Availability
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    Online Resource
    Open Access Request
    FU Berlin
  • 3
    Online Resource
    Online Resource
    Robust static super-replication of barrier options / (2009)
    Berlin [u.a.] :de Gruyter,
    Details
    UID:
    edocfu_BV035994741
    Format: 1 Online-Ressource (XII, 197 S.) : , graph. Darst.
    ISBN: 978-3-11-020851-1
    Series Statement: Radon series on computational and applied mathematics 7
    Note: Zugl.: Trier, Univ., Diss., 2007
    Additional Edition: Erscheint auch als Druck-Ausgabe ISBN 978-3-11-020468-1
    Language: English
    Subjects: Mathematics
    RVK:
    SK 870
    Keywords: Barrier options ; Volatilität ; Hedging ; Optimierung ; Hochschulschrift
    DOI: 10.1515/9783110208511
    URL: Volltext  (URL des Erstveröffentlichers)
    Author information: Maruhn, Jan H.
    Library Location Call Number Volume/Issue/Year Availability
    BibTip Others were also interested in ...
    Online Resource
    Online Access
    Open Access Request
    FU Berlin
  • 4
    Online Resource
    Online Resource
    Robust Static Super-Replication of Barrier Options / (2009)
    Berlin ; : De Gruyter,
    Details
    UID:
    almahu_9949462256302882
    Format: 1 online resource (197 p.) : , Figs. and tabs.
    ISBN: 9783110208511 , 9783110238570
    Series Statement: Radon Series on Computational and Applied Mathematics , 7
    Content: 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.
    Note: Frontmatter -- , 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 -- , A. General Existence Theorem -- , B. Source Code -- , Backmatter , Issued also in print. , Mode of access: Internet via World Wide Web. , In English.
    In: DGBA Backlist Complete English Language 2000-2014 PART1, De Gruyter, 9783110238570
    In: DGBA Backlist Mathematics 2000-2014 (EN), De Gruyter, 9783110238471
    In: DGBA Mathematics - 2000 - 2014, De Gruyter, 9783110637205
    In: E-BOOK GESAMTPAKET / COMPLETE PACKAGE 2009, De Gruyter, 9783110219517
    In: E-BOOK PACKAGE ENGLISH LANGUAGES TITLES 2009, De Gruyter, 9783110219524
    In: E-BOOK PAKET SCIENCE TECHNOLOGY AND MEDICINE 2009, De Gruyter, 9783110219463
    In: Radon Series on Applied Mathematics eBook-Package, De Gruyter, 9783110647174
    Additional Edition: ISBN 9783110204681
    Language: English
    Subjects: Mathematics
    RVK:
    SK 870
    Keywords: Hochschulschrift
    DOI: 10.1515/9783110208511
    URL: https://doi.org/10.1515/9783110208511
    URL: https://www.degruyter.com/isbn/9783110208511
    URL: Cover
    URL: Volltext  (URL des Erstveröffentlichers)
    Library Location Call Number Volume/Issue/Year Availability
    BibTip Others were also interested in ...
    Online Resource
    Online Access
    Open Access Request
    HU Berlin
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