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This is the first book about the emerging field of utility indifference pricing for valuing derivatives in incomplete markets. René 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 Pricing offers cutting-edge procedures developed under more realistic market assumptions. The book begins by introducing the concept of indifference pricing in the simplest possible models of discrete time and finite state spaces where duality theory can be exploited readily. It moves into a more technical discussion of utility indifference pricing for diffusion models, and then addresses problems of optimal design of derivatives by extending the indifference pricing paradigm beyond the realm of utility functions into the realm of dynamic risk measures. Focus then turns to the applications, including portfolio optimization, the pricing of defaultable securities, and weather and commodity derivatives. The book features original mathematical results and an extensive bibliography and indexes. In addition to the editor, the contributors are Pauline Barrieu, Tomasz R. Bielecki, Nicole El Karoui, Robert J. Elliott, Said Hamadène, Vicky Henderson, David Hobson, Aytac Ilhan, Monique Jeanblanc, Mattias Jonsson, Anis Matoussi, Marek Musiela, Ronnie Sircar, John van der Hoek, and Thaleia Zariphopoulou. The first book on utility indifference pricing Explains the fundamentals of indifference pricing, from simple models to the most technical ones Goes beyond utility functions to analyze optimal risk transfer and the theory of dynamic risk measures Covers non-Markovian and partially observed models and applications to portfolio optimization, defaultable securities, static and quadratic hedging, weather derivatives, and commodities Includes extensive bibliography and indexes Provides essential reading for PhD students, researchers, and professionals

Nonlinear pricing --- Prices --- Pricing --- Mathematical models. --- Mathematical models --- E-books --- 658.816 --- 305.91 --- 339.40 --- 380.20 --- AA / International- internationaal --- Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles --- Vermogenbeheer. financiële analyse (algemeenheden) --- Prijstheorieën: algemeenheden --- Tarification non linéaire --- Prix --- Modèles mathématiques

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BPB0604 --- 657 --- 657 IBR --- 657.62 <493> --- 657.6 --- 338.5 <493> --- België --- Academic collection --- audit --- prijzen --- ondernemingen --- belgie --- BE / Belgium - België - Belgique --- 657.5 --- bedrijfsrevisoraat --- prijsvorming --- 657.6 Official verification of accounts. Auditing --- Official verification of accounts. Auditing --- 338.5 <493> Prijsvorming. Prijskostenverhouding. Prijsbeweging. Prijsfluctuatie--macroeconomisch; prijsindex zie {336.748.12}--België --- Prijsvorming. Prijskostenverhouding. Prijsbeweging. Prijsfluctuatie--macroeconomisch; prijsindex zie {336.748.12}--België --- 657.62 <493> Analysis and verification of balance-sheets--België --- Analysis and verification of balance-sheets--België --- boekhouding - accountancy - accounting --- Instituut voor Bedrijfsrevisoren - IBR --- Audit --- prix --- entreprises --- belgique --- Accountantscontrole. Administratiekantoren. Interne audit. Financiële ratios en analyse. --- auditing --- bedrijfsrevisoren --- prijsbepaling --- Belgium --- PRIJSZETTING -- 338.51 --- Auditing --- Vérification comptable --- Prices --- Prix --- Prijszetting --- Accountancy --- Accountantscontrole. Administratiekantoren. Interne audit. Financiële ratios en analyse --- Révisorat --- Tarification des prestations

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338.5 --- 656 --- 656.1 --- prijsvorming --- prijsbeleid --- vervoer --- vervoer, weg --- Road traffic --- Roads --- Traffic congestion. --- Transportation, Automotive --- Urban transportation policy. --- Finance. --- Environmental aspects. --- Traffic congestion --- Urban transportation policy --- #SBIB:001.IO --- #SBIB:35H434 --- #SBIB:35H438 --- 351.2 --- 355 --- 385.0 --- 385.20 --- 385.22 --- AA / International- internationaal --- NL / Netherlands - Nederland - Pays Bas --- US / United States of America - USA - Verenigde Staten - Etats Unis --- #A9901A --- State and urban transportation --- Urban transportation --- Urban transportation and state --- Congested traffic --- Congestion, Traffic --- Gridlock (Traffic flow) --- Jams, Traffic --- Reduction of traffic congestion --- Traffic jams --- Automotive transportation --- Highway transportation --- Motor carriers --- Motor transportation --- Road transportation --- Highway finance --- Finance --- Environmental aspects --- Beleidssectoren: milieubeleid en ruimtelijke ordening --- Beleidssectoren: openbare werken, verkeer en telecommunicatie --- Openbare gezondheid. Milieubescherming. Milieuvervuiling --- Milieu --- Vervoerwezen, verkeerswegen en -middelen: algemeenheden --- Vervoer over het land: algemeenheden --- Wegvervoer. Autopark --- Government policy --- Automobiles --- Social aspects --- Transportation and state --- Urban policy --- Traffic flow --- Environnement --- Tarification --- Transport routier