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A Didactic Introduction to Risk Management via Hedging in Discrete and Continuous Time

  • Frederi ViensEmail author
Conference paper
Part of the Springer Proceedings in Mathematics & Statistics book series (PROMS, volume 158)

Abstract

The following is based on a series of lectures which the author presented at a graduate training workshop in April 2013, organized by the Ecole nationale des sciences appliquées of the Université Cadi Ayyad in Marrakech, Morocco, and partially financed by the CIMPA (International Center for Pure and Applied Mathematics). The author expresses his gratitude to the CIMPA and the main organizers Profs. M’hamed Eddahbi, Khalifa Es-sebaiy, Youssef Ouknine, and Josep Vives, for their work, support, and hospitality. The style of these notes is deliberately informal and didactic, with no formal development of a full mathematical theory. The intended audience includes finishing undergraduate students (3 years of college) and first year graduate students (4 years of college), with some basic background in calculus, linear algebra, differential equations, and probability. No prior knowledge of investment finance or actuarial science is required. No references are provided in the text. An excellent further treatment of many of the topics listed herein can be found in a book currently recommended by the Society of Actuaries for its treatment of “Financial Economics”: Robert L. McDonald: Derivatives Markets (3rd Edition, 2012), Pearson Series in Finance.

Keywords

Risk management Option pricing Overnight profit Market making Actuarial mathematics 

Mathematical Subject Classification 2010

91G20 91B30 60J65 

Copyright information

© Springer International Publishing Switzerland 2016

Authors and Affiliations

  1. 1.Purdue UniversityWest LafayetteUSA

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