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Author: Birgit Rudloff
Publisher:
ISBN:
Category :
Languages : en
Pages : 17
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Author: Birgit Rudloff
Publisher:
ISBN:
Category :
Languages : en
Pages : 17
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Book Description
Author: Birgit Rudloff
Publisher:
ISBN:
Category :
Languages : en
Pages : 100
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Author: Antoine Toussaint
Publisher:
ISBN: 9780549230038
Category :
Languages : en
Pages : 222
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Book Description
This framework is more suitable for optimal hedging with L 2 valued financial markets. A dual representation is given for this minimum risk when the risk measure is real-valued and we give an example of computation in a stochastic volatility model with the shortfall risk. In the general case when the risk may become infinite, we introduce constrained hedging and prove that the minimum risk is still an L2 convex risk measure and the existence of an optimal hedge.
Author: Hirbod Assa
Publisher:
ISBN:
Category :
Languages : en
Pages : 33
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This paper proposes a robust approach to hedging and pricing in the presence of market imperfections such as market incompleteness and frictions. The generality of this framework allows us to conduct an in-depth theoretical analysis of hedging strategies for a wide family of risk measures and pricing rules, which are possibly non-convex. The practical implications of our proposed theoretical approach are illustrated with an application on hedging economic risk.
Author: Christian Hipp
Publisher:
ISBN:
Category :
Languages : de
Pages : 13
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Author: Birgit Rudloff
Publisher:
ISBN:
Category :
Languages : en
Pages : 18
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Author: Michael Kirch
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ISBN:
Category :
Languages : en
Pages : 137
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Author: Dan Chen
Publisher:
ISBN:
Category :
Languages : en
Pages :
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The thesis focuses on valuation and hedging problems when the market is incomplete. The first essay considers the quadratic hedging strategy. We propose a generalized quadratic hedging strategy which can balance a short-term risk (additional cost) with a long-term risk (hedging errors). The traditional quadratic hedging strategies, i.e. self-financing strategy and risk-minimization strategy, can be seen as special cases of the generalized quadratic hedging strategy. This is applied to the insurance derivatives market. The second essay compares parametric and nonparametric measure-changing techniques. The essay discusses three pricing approaches: pricing via Esscher measure, via calibration and via nonparametric risk-neutral density; and empirically compares the performance of the three approaches in the metal futures markets. The last essay establishes the concept of stochastic volatility of volatility and proposes several estimation methods.
Author: Suleyman Başak
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Author: Darrell Duffie
Publisher:
ISBN:
Category : Hedging (Finance)
Languages : en
Pages : 16
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