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QuikLearner


Total Posts: 1
Joined: Jun 2017
 
Posted: 2017-06-29 16:58
Hi,

I am new joiner to NP.
Can some of the veterans please suggest me study materials (blogs/books/papers) on Fund linked Derivatives (Pricing, hedging and risk management)?
I am mainly interested in Mutual-Fund linked derivatives.

Thanks

fomisha


Total Posts: 29
Joined: Jul 2007
 
Posted: 2017-07-05 16:09
Look for indifference pricing theory. It describes a general framework of valuation when only some risks are hedgable.

deeds


Total Posts: 348
Joined: Dec 2008
 
Posted: 2017-07-05 16:42
Don't know the field, but would like to better...

Is this theory ready for general use?

https://johannesgerer.com/img/diss_johannes_gerer_3.pdf

seems to imply some limitations.

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