Model-free Hedging : A Martingale Optimal Transport Viewpoint

by Pierre Henry-Labordere

Book Details

Format Paperback / Softback

Book Series Chapman and Hall/CRC Financial Mathematics Series

ISBN-10 0367657961

ISBN-13 9780367657963

Publisher Taylor & Francis Ltd

Imprint Chapman & Hall/CRC

Country of Manufacture GB

Country of Publication GB

Publication Date Sep 30th, 2020

Print length 190 Pages

Weight 322 grams

Dimensions 15.60 x 23.20 x 2.50 cms

Product Classification: Economic systems & structures Finance Applied mathematics

Ksh 9,550.00

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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 transpo

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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