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Chapters in this book
- Frontmatter i
- Contents v
- Preface ix
-
Part 1. Foundations
- Chapter One. The Single Period Binomial Model 3
- Chapter Two. Utility Indifference Pricing: An Overview 44
-
Part 2. Diffusion Models
- Chapter Three. Pricing, Hedging, And Designing Derivatives With Risk Measures 77
- Chapter Four. From Markovian To Partially Observable Models 147
-
Part 3. Applications
- Chapter Five. Portfolio Optimization 183
- Chapter Six. Indifference Pricing Of Defaultable Claims 211
- Chapter Seven. Applications To Weather Derivatives And Energy Contracts 241
-
Part 4. Complements
- Chapter Eight. BSDEs And Applications 267
- Chapter Nine. Duality Methods 321
- Bibliography 387
- Contributors 405
- Notation Index 409
- Author Index 410
- Subject Index 413
Chapters in this book
- Frontmatter i
- Contents v
- Preface ix
-
Part 1. Foundations
- Chapter One. The Single Period Binomial Model 3
- Chapter Two. Utility Indifference Pricing: An Overview 44
-
Part 2. Diffusion Models
- Chapter Three. Pricing, Hedging, And Designing Derivatives With Risk Measures 77
- Chapter Four. From Markovian To Partially Observable Models 147
-
Part 3. Applications
- Chapter Five. Portfolio Optimization 183
- Chapter Six. Indifference Pricing Of Defaultable Claims 211
- Chapter Seven. Applications To Weather Derivatives And Energy Contracts 241
-
Part 4. Complements
- Chapter Eight. BSDEs And Applications 267
- Chapter Nine. Duality Methods 321
- Bibliography 387
- Contributors 405
- Notation Index 409
- Author Index 410
- Subject Index 413