Indifference Pricing : : Theory and Applications / / ed. by René Carmona.

• Superior document: Title is part of eBook package: De Gruyter Princeton University Press eBook-Package Backlist 2000-2013
• MitwirkendeR: Barrieu, Pauline,; Bielecki, Tomasz R.,; Carmona, René,; Elliott, Robert J.,; Hamadène, Said,; Henderson, Vicky,; Hobson, David,; Hoek, John van der,; Ilhan, Aytac,; Jeanblanc, Monique,; Jonsson, Mattias,; Karoui, Nicole El,; Matoussi, Anis,; Musiela, Marek,; Sircar, Ronnie,; Zariphopoulou, Thaleia,
• HerausgeberIn: Carmona, René,
• Place / Publishing House: Princeton, NJ : : Princeton University Press, , [2008]; ©2009
• Year of Publication: 2008
• Edition: Course Book
• Language: English
• Series: Princeton Series in Financial Engineering
• Physical Description: 1 online resource (440 p.) :; 7 line illus. 3 tables.

This is the first book about the emerging field of utility indifference pricing for valuing derivatives in incomplete markets. René 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,...

Table of Contents

• Frontmatter
• Contents
• Preface
• Part 1. Foundations
• Chapter One. The Single Period Binomial Model
• Chapter Two. Utility Indifference Pricing: An Overview
• Part 2. Diffusion Models
• Chapter Three. Pricing, Hedging, And Designing Derivatives With Risk Measures
• Chapter Four. From Markovian To Partially Observable Models
• Part 3. Applications
• Chapter Five. Portfolio Optimization
• Chapter Six. Indifference Pricing Of Defaultable Claims
• Chapter Seven. Applications To Weather Derivatives And Energy Contracts
• Part 4. Complements
• Chapter Eight. BSDEs And Applications
• Chapter Nine. Duality Methods
• Bibliography
• Contributors
• Notation Index
• Author Index
• Subject Index