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Fundamentals and Advanced Techniques in Derivatives Hedging

Author

Listed:
  • Bruno Bouchard

    (CEREMADE - CEntre de REcherches en MAthématiques de la DEcision - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres - CNRS - Centre National de la Recherche Scientifique)

  • Jean-François Chassagneux

    (UPD7 - Université Paris Diderot - Paris 7)

Abstract

This book covers the theory of derivatives pricing and hedging as well as techniques used in mathematical finance. The authors use a top-down approach, starting with fundamentals before moving to applications, and present theoretical developments alongside various exercises, providing many examples of practical interest.A large spectrum of concepts and mathematical tools that are usually found in separate monographs are presented here. In addition to the no-arbitrage theory in full generality, this book also explores models and practical hedging and pricing issues. Fundamentals and Advanced Techniques in Derivatives Hedging further introduces advanced methods in probability and analysis, including Malliavin calculus and the theory of viscosity solutions, as well as the recent theory of stochastic targets and its use in risk management, making it the first textbook covering this topic. Graduate students in applied mathematics with an understanding of probability theory and stochastic calculus will find this book useful to gain a deeper understanding of fundamental concepts and methods in mathematical finance.

Suggested Citation

  • Bruno Bouchard & Jean-François Chassagneux, 2016. "Fundamentals and Advanced Techniques in Derivatives Hedging," Post-Print hal-01348864, HAL.
    • Handle: RePEc:hal:journl:hal-01348864
    DOI: 10.1007/978-3-319-38990-5
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    Citations

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    Cited by:

    1. Bruno Bouchard & Gr'egoire Loeper & Xiaolu Tan, 2021. "A $C^{0,1}$-functional It\^o's formula and its applications in mathematical finance," Papers 2101.03759, arXiv.org.
    2. Bruno Bouchard & Ki Chau & Arij Manai & Ahmed Sid-Ali, 2017. "Monte-Carlo methods for the pricing of American options: a semilinear BSDE point of view," Papers 1712.07383, arXiv.org, revised Nov 2018.
    3. Bruno Bouchard & Ki Wai Chau & Arij Manai & Ahmed Sid-Ali, 2019. "Monte-Carlo methods for the pricing of American options: a semilinear BSDE point of view," Post-Print hal-01666399, HAL.
    4. Bouchard, Bruno & Loeper, Grégoire & Tan, Xiaolu, 2022. "A ℂ0,1-functional Itô’s formula and its applications in mathematical finance," Stochastic Processes and their Applications, Elsevier, vol. 148(C), pages 299-323.
    5. Bruno Bouchard & Ki Chau & Arij Manai & Ahmed Sid-Ali, 2018. "Monte-Carlo methods for the pricing of American options: a semilinear BSDE point of view," Working Papers hal-01666399, HAL.
    6. Bruno Bouchard & Grégoire Loeper & Xiaolu Tan, 2022. "A C^{0,1}-functional Itô's formula and its applications in mathematical finance," Post-Print hal-03105342, HAL.
    7. Bruno Bouchard & Grégoire Loeper & Xiaolu Tan, 2021. "A C^{0,1}-functional Itô's formula and its applications in mathematical finance," Working Papers hal-03105342, HAL.

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