Author: Mario Tirelli
Publisher:
ISBN:
Category :
Languages : en
Pages : 256
Book Description
Three Essays on Incomplete Markets
Author: Mario Tirelli
Publisher:
ISBN:
Category :
Languages : en
Pages : 256
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages : 256
Book Description
Three Essays on Restricted Market Participation in Auctions, Incomplete Markets, and Posted-price Selling
Author: Subir Bose
Publisher:
ISBN:
Category :
Languages : en
Pages : 85
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages : 85
Book Description
Frictions and Incomplete Markets
Author: Jonathan Heathcote
Publisher:
ISBN:
Category :
Languages : en
Pages : 125
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages : 125
Book Description
Three Essays on Marriage, Housing and Incomplete Markets
Author: Guangyu Nie
Publisher:
ISBN:
Category : Economics
Languages : en
Pages : 310
Book Description
This dissertation focuses on labor economics and macroeconomics.
Publisher:
ISBN:
Category : Economics
Languages : en
Pages : 310
Book Description
This dissertation focuses on labor economics and macroeconomics.
Three Essays on Pricing and Hedging in Incomplete Markets
Author: Dan Chen
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
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.
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
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.
Three Essays on Capital Market with Incomplete and Asymmetric Information
Author: Chaoli Guo
Publisher:
ISBN: 9781361276518
Category :
Languages : en
Pages :
Book Description
Publisher:
ISBN: 9781361276518
Category :
Languages : en
Pages :
Book Description
Essays on Incomplete Markets, Liquidity and Risk Sharing
Author: MartÃn Gonzalez-Eiras
Publisher:
ISBN:
Category :
Languages : en
Pages : 240
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages : 240
Book Description
Three Essays in the Theory of Trade and Taxation Under Incomplete Risk Markets
Author: Karla Ruth Hoff
Publisher:
ISBN:
Category :
Languages : en
Pages : 236
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages : 236
Book Description
Essays on the Theory of Incomplete Markets
Author: Atsushi Kajii
Publisher:
ISBN:
Category : Equilibrium (Economics)
Languages : en
Pages : 272
Book Description
Publisher:
ISBN:
Category : Equilibrium (Economics)
Languages : en
Pages : 272
Book Description
Essays on Incomplete Markets
Author: Jung-moh Chang
Publisher:
ISBN:
Category :
Languages : en
Pages : 112
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages : 112
Book Description