Title
Indifference Pricing: Theory and Applications (Princeton Series in Financial Engineering),New
Sold by Ergodebooks, an authorized reseller.
Returns accepted within 30 days | support@ergodebooks.com
Shipping Information
- Free Standard Shipping — United States only
- Processing Time: 1–3 business days
- Estimated Delivery: 3–5 business days after dispatch
- Double-boxed, fully insured & discreetly packaged
- Tracking number sent via email once dispatched
- Orders over $250 require signature upon delivery. Taxes calculated at checkout.
Returns & Refund
Returns accepted within 30 days of delivery.
Damaged or Defective Item
Free return shipping + replacement or full refund
Wrong Item Received
Free return shipping + replacement or full refund
Change of Mind
Return shipping at customer's expense · 25% restocking fee applies
Payment Option
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
⚠️ WARNING (California Proposition 65):
This product may contain chemicals known to the State of California to cause cancer, birth defects, or other reproductive harm.
For more information, please visit www.P65Warnings.ca.gov.
- Q: What is the page count of this book? A: This book has four hundred forty pages. It provides an extensive exploration of utility indifference pricing and its applications.
- Q: What are the dimensions of this book? A: The book measures six point twenty-six inches in length, one point twenty-six inches in width, and nine point twenty-five inches in height.
- Q: What binding type does this book have? A: This book is bound in hardcover. This type of binding enhances durability and makes it suitable for extensive use.
- Q: Who is the author of this book? A: The author of this book is René Carmona. He is recognized for his contributions to the field of financial engineering.
- Q: What is the main subject of this book? A: The main subject is utility indifference pricing in incomplete markets. It covers both theoretical and practical aspects of this emerging field.
- Q: Is this book suitable for beginners? A: Yes, this book is suitable for beginners as it explains the fundamentals of indifference pricing. It starts with simple models before advancing to more complex theories.
- Q: Can this book help with portfolio optimization? A: Yes, the book addresses applications including portfolio optimization. It discusses methods for optimizing portfolios within the framework of indifference pricing.
- Q: Is this book appropriate for PhD students? A: Yes, this book is essential reading for PhD students. It provides a comprehensive introduction to utility indifference pricing and its theoretical underpinnings.
- Q: Does this book cover real-world applications of pricing? A: Yes, it covers real-world applications such as pricing of defaultable securities and commodity derivatives. It connects theoretical concepts with practical financial situations.
- Q: What should I do if my book arrives damaged? A: If your book arrives damaged, you should contact the seller for a return or replacement. Most sellers have policies in place to address damaged items.
- Q: Is there a warranty for this book? A: No, typically there is no warranty for books. However, you can check with the seller for their specific return policy.
- Q: What if I want to return this book? A: You can return the book according to the seller's return policy. Ensure to check the terms regarding returns before purchasing.
- Q: How do I keep this book in good condition? A: To keep the book in good condition, store it upright in a dry place and avoid exposure to direct sunlight. Handle it gently to prevent wear.
- Q: Are there any safety concerns with this book? A: No, there are no specific safety concerns with this book. It is a standard hardcover book intended for educational purposes.
- Q: What makes this book unique in its field? A: This book is unique because it is the first dedicated to utility indifference pricing. It brings together leading experts and original mathematical results.
- Q: Can I find bibliographic references in this book? A: Yes, this book includes an extensive bibliography and indexes. This allows readers to explore further research and related topics.