Mark Broadie

Hedging with trees: Advances in pricing and risk managing derivatives

Coauthor(s): Paul Glasserman.

Abstract:
Hedging with Trees: Advances in Pricing and Risk Managing Derivatives is a useful compendium of 35+ articles encapsulating recent advances in financial derivatives, selected by two well-respected academics. It includes advances in exotic options, computational techniques, VAR and capital management.

Exact Citation:
Broadie, Mark, and Paul Glasserman. Hedging with trees: Advances in pricing and risk managing derivatives. London: Risk Books, 1998.
Place: London
Date: 1998