Indifference Pricing: Theory and Applications


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This is the first book about the emerging field of utility indifference pricing for valuing derivatives in incomplete markets. Rene Carmona brings together a who's who of leading experts in the field to provide the definitive introduction for students, scholars, and researchers. Until recently, financial mathematicians and engineers developed pricing and hedging procedures that assumed complete markets. But markets are generally incomplete, and it may be impossible to hedge against all sources of randomness. Indifference ...

Indifference Pricing: Theory and Applications 2009, Princeton University Press, Princeton, NJ

ISBN-13: 9780691138831