Robust Static Super-Replication of Barrier Options by Jan H. Maruhn (English) Ha

Description: Robust Static Super-Replication of Barrier Options by Jan H. Maruhn Presents hedging strategies for a class of financial options. This book places emphasis on theoretical and numerical aspects, such as the consideration of appropriate existence, duality and convergence results. FORMAT Hardcover LANGUAGE English CONDITION Brand New Publisher Description Static hedge portfolios for barrier options are very sensitive with respect to changes of the volatility surface. To prevent potentially significant hedging losses this book develops a static super-replication strategy with market-typical robustness against volatility, skew and liquidity risk as well as model errors. Empirical results and various numerical examples confirm that the static superhedge successfully eliminates the risk of a changing volatility surface. Combined with associated sub-replication strategies this leads to robust price bounds for barrier options which are also relevant in the context of dynamic hedging. The mathematical techniques used to prove appropriate existence, duality and convergence results range from financial mathematics, stochastic and semi-infinite optimization, convex analysis and partial differential equations to semidefinite programming. Notes Exklusives Verkaufsrecht fÜr: Gesamte Welt. Author Biography Jan H. Maruhn, UniCredit Markets & Investment Banking, Munich, Germany. Review "I always felt that Jan Maruhn would be the only person on the globe who knows how to statically hedge barrier options. Now I am even more pleased to see that he is making a fully guided tour available as a book. For decades many papers have been contributed to this core problem by many authors. Many of the suggestions worked well on a piece of paper, none of them ever worked in practice. Jans book is the Odyssey of the barrier hedging problem, that ends with a case study on how his solution works and performs in real markets. Anybody researching in or trading barrier options should read this book and pick up the entire numerical toolbox on the way." Uwe Wystup, CEO MathFinance AG Long Description Static hedge portfolios for barrier options are very sensitive with respect to changes of the volatility surface. To prevent potentially significant hedging losses this book develops a static super-replication strategy with market-typical robustness against volatility, skew and liquidity risk as well as model errors. Empirical results and various numerical examples confirm that the static superhedge successfully eliminates the risk of a changing volatility surface. Combined with associated sub-replication strategies this leads to robust price bounds for barrier options which are also relevant in the context of dynamic hedging. The mathematical techniques used to prove appropriate existence, duality and convergence results range from financial mathematics, stochastic and semi-infinite optimization, convex analysis and partial differential equations to semidefinite programming. Review Text "I always felt that Jan Maruhn would be the only person on the globe who knows how to statically hedge barrier options. Now I am even more pleased to see that he is making a fully guided tour available as a book. For decades many papers have been contributed to this core problem by many authors. Many of the suggestions worked well on a piece of paper, none of them ever worked in practice. Jans book is the Odyssey of the barrier hedging problem, that ends with a case study on how his solution works and performs in real markets. Anybody researching in or trading barrier options should read this book and pick up the entire numerical toolbox on the way." Uwe Wystup, CEO MathFinance AG Details ISBN3110204681 Author Jan H. Maruhn Short Title ROBUST STATIC SUPER-REPLICATIO Series Radon Series on Computational and Applied Mathematics Language English ISBN-10 3110204681 ISBN-13 9783110204681 Media Book Format Hardcover Series Number 7 Audience Age 22-22 Pages 209 Year 2009 Place of Publication Berlin Country of Publication Germany Illustrations Figs. and tabs. Imprint De Gruyter Publication Date 2009-07-15 UK Release Date 2009-07-15 Publisher De Gruyter Alternative 9783110208511 DEWEY 519 Audience Professional & Vocational We've got this At The Nile, if you're looking for it, we've got it. With fast shipping, low prices, friendly service and well over a million items - you're bound to find what you want, at a price you'll love! TheNile_Item_ID:126867719;

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