Model-free Hedging: A Martingale Optimal Transport Viewpoint (Chapman and Hall/CRC Financial Mathematics Series) - Hardcover

Henry-Labordere, Pierre

Hardcover

ISBN 10: 1138062235 ISBN 13: 9781138062238

Publisher: Chapman and Hall/CRC, 2017

Synopsis

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.

About this title

About the Author:

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.

About this edition

• Publisher: Chapman and Hall/CRC
• Publication date: 2017
• ISBN 10: 1138062235
• ISBN 13: 9781138062238
• Binding: Hardcover
• Edition number: 1
• Number of pages: 190