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Preface |
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Part I Revisiting Two Classic Results in Dynamic Portfolio Management |
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Merton’s Optimal Dynamic Portfolio Revisited |
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Option Pricing: Classic Results |
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Introduction |
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Part II Hedging in Interval Models |
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Fair Price Intervals |
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Optimal Hedging Under Robust-Cost Constraints |
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Appendix: Proofs |
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Continuous and Discrete-Time Option Pricing and Interval Market Model |
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Part III Robust-Control Approach to Option Pricing |
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Vanilla Options |
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Digital Options |
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Validation |
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Part IV Game-Theoretic Analysis of Rainbow Options in Incomplete Markets |
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Emergence of Risk-Neutral Probabilities |
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Rainbow Options in Discrete Time, I |
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Rainbow Options in Discrete Time, II |
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Continuous-Time Limits |
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Credit Derivatives |
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Computational Methods Based on the Guaranteed Capture Basin Algorithm |
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Viability Approach to Complex Option Pricing and Portfolio Insurance |
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Asset and Liability Insurance Management (ALIM) for Risk Eradication |
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References |
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Index. |
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Preface |
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|
Part I Revisiting Two Classic Results in Dynamic Portfolio Management |
|
|
Merton’s Optimal Dynamic Portfolio Revisited |
|