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Author: Birgit Rudloff
Publisher:
ISBN:
Category :
Languages : en
Pages : 18
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Book Description
Author: Birgit Rudloff
Publisher:
ISBN:
Category :
Languages : en
Pages : 18
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Book Description
Author: Alexander S. Cherny
Publisher:
ISBN:
Category :
Languages : en
Pages : 21
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Book Description
We propose a pricing technique based on coherent risk measures, which enables one to get finer price intervals than in the No Good Deals pricing. The main idea consists in splitting a liability into several parts and selling these parts to different agents. The technique is closely connected with the convolution of coherent risk measures and equilibrium considerations.Furthermore, we propose a way to apply the above technique to the coherent estimation of the Greeks.
Author: Christian Hipp
Publisher:
ISBN:
Category :
Languages : de
Pages : 13
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Author: Suleyman Başak
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Author: Darrell Duffie
Publisher:
ISBN:
Category : Hedging (Finance)
Languages : en
Pages : 16
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Book Description
Author: Birgit Rudloff
Publisher:
ISBN:
Category :
Languages : en
Pages : 100
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Book Description
Author: Birgit Rudloff
Publisher:
ISBN:
Category :
Languages : en
Pages : 17
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Book Description
Author: Dan Chen
Publisher:
ISBN:
Category :
Languages : en
Pages :
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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.
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: Robert J. Elliott
Publisher: Springer Science & Business Media
ISBN: 0387212922
Category : Business & Economics
Languages : en
Pages : 356
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Book Description
This book presents the mathematics that underpins pricing models for derivative securities in modern financial markets, such as options, futures and swaps. This new edition adds substantial material from current areas of active research, such as coherent risk measures with applications to hedging, the arbitrage interval for incomplete discrete-time markets, and risk and return and sensitivity analysis for the Black-Scholes model.
