SFB 649 Discussion Paper 2006-058 Perpetual Barrier Options in Jump-Diffusion Models Pavel V. Gapeev* * Weierstrass Institute for Applied Analysis and Stochastics, Berlin, Germany and Russian Academy of Sciences, Institute of Control Sciences, Moscow, Russia ...

Main description: 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...