Model-Free Hedging: A Martingale Optimal Transport Viewpoint
暫譯: 無模型對沖：馬丁蓋爾最優運輸觀點
Henry-Labordere, Pierre
- 出版商: CRC
- 出版日期: 2020-09-30
- 售價: $2,480
- 貴賓價: 9.5 折 $2,356
- 語言: 英文
- 頁數: 204
- 裝訂: Quality Paper - also called trade paper
- ISBN: 0367657961
- ISBN-13: 9780367657963
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相關主題
商品描述
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.
商品描述(中文翻譯)
《無模型對沖：馬丁格爾最優運輸觀點》專注於計算與流動性工具（如香草選擇權）市場價格一致的異常選擇權的無模型界限。作者概述了馬丁格爾最優運輸，強調了最優運輸與其馬丁格爾對應物之間的差異。然後，這個主題在數學金融的背景下進行討論。
作者簡介
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.
作者簡介(中文翻譯)
皮埃爾·亨利-拉博德雷（Pierre Henry-Labordere）在法國興業銀行（Societe Generale）的全球市場量化研究團隊工作。他擁有巴黎高等師範學院（Ecole Normale Superieure）理論物理學的博士學位，以及巴黎多芬大學（University Paris-Dauphine）應用數學的資格論文。更重要的是，皮埃爾在技術潛水方面擁有長期的經驗，特別是在混合氣體閉路循環呼吸器方面。皮埃爾同時也是法國巴黎綜合理工學院（Ecole Polytechnique）的教授（charge de cours）以及CMAP（法國巴黎綜合理工學院）的研究助理。他曾獲得2013年《風險》雜誌的「年度量化分析師」獎，以及2014年路易·巴謝利耶研究所（Institute Louis Bachelier）獎，因其與維也納大學的M. Beiglbock和F. Penkner合作撰寫的有關MOT的論文。
