Ebook: Model-free Hedging: A Martingale Optimal Transport Viewpoint
Author: Pierre Henry-Labordere
- Tags: Applied, Biomathematics, Differential Equations, Game Theory, Graph Theory, Linear Programming, Probability & Statistics, Statistics, Stochastic Modeling, Vector Analysis, Mathematics, Science & Math, Mathematics, Algebra & Trigonometry, Calculus, Geometry, Statistics, Science & Mathematics, New Used & Rental Textbooks, Specialty Boutique
- Series: Chapman and Hall/CRC Financial Mathematics Series
- Year: 2017
- Publisher: Chapman and Hall/CRC
- Edition: 1
- Language: English
- pdf
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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