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Author: Mario Tirelli
Publisher:
ISBN:
Category :
Languages : en
Pages : 256
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Author: Mario Tirelli
Publisher:
ISBN:
Category :
Languages : en
Pages : 256
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Author: Subir Bose
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ISBN:
Category :
Languages : en
Pages : 85
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Author: Jonathan Heathcote
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ISBN:
Category :
Languages : en
Pages : 125
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Author: Guangyu Nie
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Category : Economics
Languages : en
Pages : 310
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This dissertation focuses on labor economics and macroeconomics.
Author: Dan Chen
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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: Chaoli Guo
Publisher:
ISBN: 9781361276518
Category :
Languages : en
Pages :
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Author: MartÃn Gonzalez-Eiras
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ISBN:
Category :
Languages : en
Pages : 240
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Author: Karla Ruth Hoff
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ISBN:
Category :
Languages : en
Pages : 236
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Author: Atsushi Kajii
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ISBN:
Category : Equilibrium (Economics)
Languages : en
Pages : 272
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Author: Jung-moh Chang
Publisher:
ISBN:
Category :
Languages : en
Pages : 112
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