Model-free Hedging : A Martingale Optimal Transport Viewpoint Hardback
by Pierre (Societe Generale, Paris, France) Henry-Labordere
Part of the Chapman and Hall/CRC Financial Mathematics Series series
Hardback
Description
Model-free Hedging: A Martingale Optimal Transport Viewpoint focuses on the computation of model-independent bounds for exotic options consistent with market prices of liquid instruments such as Vanilla options.
The author gives an overview of Martingale Optimal Transport, highlighting the differences between the optimal transport and its martingale counterpart.
This topic is then discussed in the context of mathematical finance.
Information
-
Available to Order - This title is available to order, with delivery expected within 2 weeks
- Format:Hardback
- Pages:190 pages, 8 Tables, black and white; 12 Line drawings, black and white; 10 Halftones, black and whi
- Publisher:Taylor & Francis Ltd
- Publication Date:18/05/2017
- Category:
- ISBN:9781138062238
Information
-
Available to Order - This title is available to order, with delivery expected within 2 weeks
- Format:Hardback
- Pages:190 pages, 8 Tables, black and white; 12 Line drawings, black and white; 10 Halftones, black and whi
- Publisher:Taylor & Francis Ltd
- Publication Date:18/05/2017
- Category:
- ISBN:9781138062238
