Henry-Labordere Model-free Hedging

A Martingale Optimal Transport Viewpoint
Erscheinungsjahr 2017
ISBN: 978-1-351-66623-7
Verlag: Taylor & Francis
Format: PDF
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)

E-Book, Englisch, 204 Seiten

Reihe: Chapman and Hall/CRC Financial Mathematics Series

This book 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 Transportation, highlighting the differences between the optimal transport (in short OT) and its martingale counterpart. This topic is then discussed in the context of mathematical finance.

Autoren/Hrsg.

Henry-Labordere, Pierre

Fachgebiete

• Mathematik | Informatik Mathematik Numerik und Wissenschaftliches Rechnen Angewandte Mathematik, Mathematische Modelle

Inhaltsverzeichnis

Pricing and Hedging without Tears. Martingale Optimal Transport. Model-independent Otions. Continuous-time MOT and Skorokhod Embedding. References.

Über Autor(innen)

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.