Download or read book Convex Hedging in Incomplete Markets written by Birgit Rudloff and published by . This book was released on 2005 with total page 17 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Hedging in Incomplete Markets and Testing Compound Hypotheses Via Convex Duality written by Birgit Rudloff and published by . This book was released on 2006 with total page 100 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Hedging and Pricing with L2 Convex Risk Measures in Incomplete Markets written by Antoine Toussaint and published by . This book was released on 2007 with total page 222 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Download or read book Hedging and Pricing in Imperfect Markets Under Non Convexity written by Hirbod Assa and published by . This book was released on 2015 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Download or read book Hedging in incomplete markets and optimal control written by Christian Hipp and published by . This book was released on 1999 with total page 13 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Coherent Hedging in Incomplete Markets written by Birgit Rudloff and published by . This book was released on 2005 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Efficient Hedging in Incomplete Markets Under Model Uncertainty written by Michael Kirch and published by . This book was released on 2001 with total page 137 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on Pricing and Hedging in Incomplete Markets written by Dan Chen and published by . This book was released on 2011 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Download or read book Hedging Derivatives written by Thorsten Rheinlander and published by World Scientific. This book was released on 2011 with total page 244 pages. Available in PDF, EPUB and Kindle. Book excerpt: Valuation and hedging of financial derivatives are intrinsically linked concepts. Choosing appropriate hedging techniques depends on both the type of derivative and assumptions placed on the underlying stochastic process. This volume provides a systematic treatment of hedging in incomplete markets. Mean-variance hedging under the risk-neutral measure is applied in the framework of exponential L vy processes and for derivatives written on defaultable assets. It is discussed how to complete markets based upon stochastic volatility models via trading in both stocks and vanilla options. Exponential utility indifference pricing is explored via a duality with entropy minimization. Backward stochastic differential equations offer an alternative approach and are moreover applied to study markets with trading constraints including basis risk. A range of optimal martingale measures are discussed including the entropy, Esscher and minimal martingale measures. Quasi-symmetry properties of stochastic processes are deployed in the semi-static hedging of barrier options. This book is directed towards both graduate students and researchers in mathematical finance, and will also provide an orientation to applied mathematicians, financial economists and practitioners wishing to explore recent progress in this field.

Download or read book Robust Hedging in Incomplete Markets written by Sally Shen and published by . This book was released on 2018 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: We develop a robust optimal dynamic hedging strategy that takes both downside risks and market incompleteness into account for an agent who fears model misspecification. The robust agent is assumed to minimize the shortfall between the assets and liabilities under an endogenous worst case scenario by means of solving a min-max robust optimization problem. When the funding ratio is low, robustness reduces the demand for risky assets. However, cherishing the hope of covering the liabilities, a substantial risk exposure is still optimal. A longer investment horizon or a higher funding ratio weakens the investor's fear of model misspecification. If the expected equity return is overestimated, the initial capital requirement for hedging can be decreased by following the robust strategy.

Download or read book Dynamic Hedging in Incomplete Markets written by Suleyman Başak and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Hedging in Incomplete Markets with HARA Utility written by Darrell Duffie and published by . This book was released on 1992 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Hedging with Derivatives in Incomplete Markets written by Charalambos D. Aliprantis and published by . This book was released on 1996 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Comparison of Some Key Approaches to Hedging in Incomplete Markets written by David Heath and published by . This book was released on 1998 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Beyond the Minimum Variance Hedge written by Jörg Laitenberger and published by . This book was released on 2007 with total page 17 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this note a general model of optimal hedging is studied which emcompasses most other existing hedging models. Assuming a convex form of the function of deadweight costs, the optimal hedging strategy is discussed. An analogy to the analysis of behavior towards risk of an expected utility maximizer can be used to characterize the class of optimal hedging behaviors in the case of both complete and incomplete markets. Finally, the question which risks should be hedged is addressed. Such risks are characterized by a function of the convexity of the deadweight costs and the marginal impact of the available hedging instruments on the risks under consideration. For simple hedging instruments like futures the optimal hedging strategy and the hedge ratios are presented.

Download or read book Hedging and Pricing in Incomplete Markets written by Hirbod Assa and published by . This book was released on 2014 with total page 111 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis consists of three essays in financial econometrics. In the first part of the thesis, motivated by different applications of hedging methods in the literature, we propose a general theoretical framework for hedging and pricing. First, we review briefly different strands of literature on hedging which have been developed in various fields such as finance, economics, operations research and mathematics, and then try to come up with a tractable way for hedging and pricing in this paper. By introducing different market principles, we study conditions under which the hedging problem has a solution and pricing is possible. We will conduct an in-depth theoretical analysis of hedging strategies with shortfall risks as well as the spectral risk measures, in particular those associated with Choquet expected utility. We show that asymmetric information results in incorrect risk assessment and pricing. In the second part of the thesis, we will apply our results in the first part to construct an economic risk hedge. We also introduce a general method to estimate the stochastic discount factors associated with different risk measures and different financial models. The third part of the thesis modifies the speculative storage model by embedding staggered price features into the structural model of Deaton and Laroque (1996). In an attempt to replicate the stylized facts of observed commodity price dynamics, we add an additional source of intertemporal linkage to Deaton and Laroque (1996), namely speculation in intermediate-good inventories. The introduction of this type of friction into the model is motivated by its ability to increase price stickiness which gives rise to an increased persistence in the first and higher conditional moments of commodity prices. By incorporating intermediate risk neutral speculators and a final bundler with a staggered pricing rule in the spirit of Calvo (1983) into the storage model, we are able to capture a high degree of serial correlation and conditional heteroskedasticity, which are observed in actual data. The structural parameters of both Deaton and Laroque (1996) and our modified models are estimated using actual prices for 8 agricultural commodities. Simulated data are then employed to assess the effects of our staggered price approach on the time-series properties of commodity prices. Our results lend empirical support to the possibility of staggered prices.

Download or read book Pricing and Hedging Derivative Securities in Incomplete Markets written by Dimitris Bertsimas and published by . This book was released on 1997 with total page 80 pages. Available in PDF, EPUB and Kindle. Book excerpt: