Indifference pricing : theory and applications / edited by René Carmona.

Includes bibliographical references (pages 387-404) and indexes.

Pt. 1. Foundations -- Ch. 1. The Single Period Binomial Model / Marek Musiela and Thaleia Zariphopoulou -- Ch. 2. Utility Indifference Pricing: An Overview / Vicky Henderson and David Hobson -- Pt. 2. Diffusion Models -- Ch. 3. Pricing, Hedging, and Designing Derivatives with Risk Measures / Pauline Barrieu and Nicole El Karoui -- Ch. 4. From Markovian to Partially Observable Models / Rene Carmona -- Pt. 3. Applications -- Ch. 5. Portfolio Optimization / Aytac Ilhan, Mattias Jonsson and Ronnie Sircar -- Ch. 6. Indifference Pricing of Defaultable Claims / Tomasz R. Bielecki and Monique Jeanblanc -- Ch. 7. Applications to Weather Derivatives and Energy Contracts / Rene Carmona -- Pt. 4. Complements -- Ch. 8. BSDEs and Applications / Nicole El Karoui, Said Hamadene and Anis Matoussi -- Ch. 9. Duality Methods / Robert J. Elliott and John van der Hoek.

"This is the first book on the emerging field of utility indifference pricing for valuing derivatives in incomplete markers. Rene 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."--BOOK JACKET.