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Option pricing in incomplete markets. Modeling based on geometric Lévy processes and minimal entropy Martingale measures / Yoshio Miyahara Vol. 3 : London : Imperial College Press, 2012185tr. ; 24cm.This volume offers the reader practical methods to compute the option prices in the incomplete asset markets. The [GLP & MEMM] pricing models are clearly introduced, and the properties of these models are discussed in great detail. It is shown that the geometric Levy process (GLP) is a typical example of the incomplete market, and that the MEMM (minimal entropy martingale measure) is an extremely powerful pricing measure. This volume also presents the calibration procedure of the [GLP \ & MEMM] model that has been widely used in the application of practical problems
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Problems in portfolio theory and the fundamentals of financial decision making. Leonard C Maclean, William T Ziemba Vol. 10 / New Jersey : World Scientific, 2017201tr. ; 23cm.This book consists of invaluable introductions, tutorials and problems which are helpful for teaching purposes and have a very broad appeal and usage. The problems cover many aspects of static and dynamic portfolio theory as well as other important subjects such as arbitrage and asset pricing, utility theory, stochastic dominance, risk aversion and static portfolio theory, risk measures, dynamic portfolio theory and asset allocation
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