Base Library

Includes bibliographical references (p. [387]-404) and indexes.

Contents
Preface
PART 1. FOUNDATIONS
Chapter 1. The Single Period Binomial Model
1.1 Introduction
1.2 The Incomplete Model
Chapter 2. Utility Indifference Pricing: An Overview
2.1 Introduction
2.2 Utility Functions
2.3 Utility Indifference Prices: Definitions
2.4 Discrete Time Approach to Utility Indifference Pricing
2.5 Utility Indifference Pricing in Continuous Time
2.6 Applications, Extensions, and a Literature Review
2.7 Related Approaches
2.8 Conclusion
PART 2. DIFFUSION MODELS
Chapter 3. Pricing, Hedging, and Designing Derivatives with Risk Measures
3.1 Indifference Pricing, Capital Requirement, and Convex Risk Measures
3.2 Dilatation of Convex Risk Measures, Subdifferential and Conservative Price
3.3 Inf-Convolution
3.4 Optimal Derivative Design
3.5 Recalls on Backward Stochastic Differential Equations
3.6 Axiomatic Approach and g-Conditional Risk Measures
3.7 Dual Representation of g-Conditional Risk Measures
3.8 Inf-Convolution of g-Conditional Risk Measures
3.9 Appendix: Some Results in Convex Analysis
Chapter 4. From Markovian to Partially Observable Models
4.1 A First Diffusion Model
4.2 Static Hedging with Liquid Options
4.3 Non-Markovian Models with Full Observation
4.4 Optimal Hedging in Partially Observed Markets
4.5 The Conditionally Gaussian Case
PART 3. APPLICATIONS
Chapter 5. Portfolio Optimization
5.1 Introduction
5.2 Indifference Pricing and the Dual Formulation
5.3 Utility Indifference Pricing
5.4 Stochastic Volatility Models
Chapter 6. Indifference Pricing of Defaultable Claims
6.1 Preliminaries
6.2 Indifference Prices Relative to the Reference Filtration
6.3 Optimization Problems and BSDEs
6.4 Quadratic Hedging
Chapter 7. Applications to Weather Derivatives and Energy Contracts
7.1 Application I: Temperature Options
7.2 Application II: Rainfall Options
7.3 Application III: Commodity Derivatives
PART 4. COMPLEMENTS
Chapter 8. BSDEs and Applications
8.1 General Results on Backward Stochastic Differential Equations
8.2 Applications to Optimization Problems
8.3 Markovian BSDEs
8.4 BSDEs with Quadratic Growth with Respect to Z
8.5 Reflected Backward Stochastic Differential Equations
Chapter 9. Duality Methods
9.1 Introduction
9.2 Model
9.3 Utility Functions
9.4 Pricing Claims
9.5 The Dual Cost Function
9.6 The Minimum of V[sub(G)](y) and V[sub(0)](y)
9.7 The Calculation of V[sub(0)](x)
9.8 The Indifference Asking Price for Claims
9.9 The Indifference Bid Price
9.10 Examples
9.11 Properties of υ
9.12 Numerical Methods
9.13 Approximate Formulas
9.14 An Alternative Representation for V[sub(G)](x)
Bibliography
List of Contributors
Notation Index
Author Index
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Subject Index
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