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Model-free Hedging: A Martingale Optimal Transport Viewpoint (Financial Mathematics) - Softcover

Buch 36 von 71: Chapman and Hall/CRC Financial Mathematics

Henry-labordere, Pierre

 
9780367657963: Model-free Hedging: A Martingale Optimal Transport Viewpoint (Financial Mathematics)
Softcover
ISBN 10: 0367657961 ISBN 13: 9780367657963
Verlag: Chapman and Hall/CRC, 2020

Inhaltsangabe

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.

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Über die Autorin bzw. den Autor

Pierre Henry-Labordere works in the Global Markets Quantitative Research team at Societe Generale. He holds a Ph.D. in Theoretical Physics from Ecole Normale Superieure (Paris) and a habilitation thesis in Applied Mathematics from University Paris-Dauphine. More importantly, Pierre has a longstanding experience in tek diving, particularly mixed-gas closed-circuit rebreathers. Pierre is also professor (charge de cours) at Ecole Polytechnique and research associate at CMAP (Ecole Polytechnique). He was the recipient of the 2013 "Quant of the Year" award from Risk magazine and the 2014 Institute Louis Bachelier award for his paper on MOT written in collaboration with M. Beiglbock and F. Penkner from University of Vienna.

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Verlag
Chapman and Hall/CRC
Erscheinungsdatum
2020
Sprache
Englisch
ISBN 10 
0367657961
ISBN 13 
9780367657963
Einband
Taschenbuch
Anzahl der Seiten
190
Kontakt zum Hersteller
CRC Press
https://www.routledge-ny.com

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