Title
Indifference Pricing: Theory and Applications (Princeton Series in Financial Engineering),New
Delivery time: 8-12 business days (International)
This is the first book about the emerging field of utility indifference pricing for valuing derivatives in incomplete markets. Ren Carmona brings together a who's who of leading experts in the field to provide the definitive introduction for students, scholars, and researchers. Until recently, financial mathematicians and engineers developed pricing and hedging procedures that assumed complete markets. But markets are generally incomplete, and it may be impossible to hedge against all sources of randomness. Indifference Pricing offers cuttingedge procedures developed under more realistic market assumptions.The book begins by introducing the concept of indifference pricing in the simplest possible models of discrete time and finite state spaces where duality theory can be exploited readily. It moves into a more technical discussion of utility indifference pricing for diffusion models, and then addresses problems of optimal design of derivatives by extending the indifference pricing paradigm beyond the realm of utility functions into the realm of dynamic risk measures. Focus then turns to the applications, including portfolio optimization, the pricing of defaultable securities, and weather and commodity derivatives. The book features original mathematical results and an extensive bibliography and indexes.In addition to the editor, the contributors are Pauline Barrieu, Tomasz R. Bielecki, Nicole El Karoui, Robert J. Elliott, Said Hamadne, Vicky Henderson, David Hobson, Aytac Ilhan, Monique Jeanblanc, Mattias Jonsson, Anis Matoussi, Marek Musiela, Ronnie Sircar, John van der Hoek, and Thaleia Zariphopoulou.The first book on utility indifference pricingExplains the fundamentals of indifference pricing, from simple models to the most technical onesGoes beyond utility functions to analyze optimal risk transfer and the theory of dynamic risk measuresCovers nonMarkovian and partially observed models and applications to portfolio optimization, defaultable securities, static and quadratic hedging, weather derivatives, and commoditiesIncludes extensive bibliography and indexesProvides essential reading for PhD students, researchers, and professionals
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We provide a 2-year limited warranty, from the date of purchase for all our products.
If you believe you have received a defective product, or are experiencing any problems with your product, please contact us.
This warranty strictly does not cover damages that arose from negligence, misuse, wear and tear, or not in accordance with product instructions (dropping the product, etc.).
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Frequently Asked Questions
- Q: What is 'Indifference Pricing' and why is it important? A: Indifference pricing is a method for valuing derivatives in incomplete markets, where traditional pricing models may not apply. It offers a more realistic approach by considering the uncertainty and risk preferences of investors.
- Q: Who is the author of 'Indifference Pricing: Theory and Applications'? A: The book is authored by René Carmona, a recognized expert in the field of financial engineering and utility indifference pricing.
- Q: What topics are covered in this book? A: The book covers fundamental concepts of indifference pricing, optimal risk transfer, applications in portfolio optimization, pricing of defaultable securities, and weather and commodity derivatives.
- Q: Is this book suitable for beginners in finance? A: While the book provides a comprehensive introduction to indifference pricing, it is best suited for advanced students, researchers, and professionals who already have a foundational understanding of financial mathematics.
- Q: What is the publication date of this book? A: The book was published on January 18, 2009.
- Q: How many pages does 'Indifference Pricing: Theory and Applications' have? A: The book contains 440 pages.
- Q: What type of binding does this book have? A: This book is available in hardcover binding, making it durable and suitable for long-term use.
- Q: Can this book help in understanding portfolio optimization? A: Yes, the book includes discussions on portfolio optimization as part of its application of indifference pricing techniques.
- Q: Does the book include contributions from other experts? A: Yes, the book features contributions from leading experts in the field, providing diverse perspectives and insights.
- Q: Is this book considered a definitive guide in its field? A: Yes, it is regarded as a definitive introduction to utility indifference pricing and its applications in financial engineering.