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 --
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Contents --
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1. Theoretical Background --
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2. Static Hedging of Barrier Options --
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3. An Optimization Approach to Static Super-Replication --
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4. Reformulation as a Semi-Infinite Problem --
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5. Eliminating Model Parameter Uncertainty --
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6. Modifications and Extensions --
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7. Avoiding Model Errors --
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8. Empirical Hedge Performance --
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9. Summary and Outlook --
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A. General Existence Theorem --
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B. Source Code --
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Backmatter
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Issued also in print.
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Mode of access: Internet via World Wide Web.
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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
Keywords:
Hochschulschrift
DOI:
10.1515/9783110208511
URL:
https://doi.org/10.1515/9783110208511
URL:
https://www.degruyter.com/isbn/9783110208511
URL:
Volltext
(URL des Erstveröffentlichers)
