Indifference Pricing in a Basis Risk Model with Stochastic - download pdf or read online

By Kwok-Chung Ivan, Lam

Show description

Read Online or Download Indifference Pricing in a Basis Risk Model with Stochastic Volatility PDF

Best nonfiction_5 books

The Heat Kernel Lefschetz Fixed Point Formula for the Spin-c by J.J. Duistermaat PDF

Reprinted because it initially seemed within the 1990s, this paintings is as a reasonable text that can be of curiosity to various researchers in geometric research and mathematical physics. The book covers a variety of techniques primary to the learn and functions of the spin-c Dirac operator, utilising the warmth kernels conception of Berline, Getzlet, and Vergne.

Get Visualizing Immunity PDF

The immune procedure isn't certain through a unmarried tissue yet is as an alternative bestowed with the problem of fending off invading pathogens during the physique. consistent surveillance of the physique calls for that the immune process be hugely cellular and ready to purge pathogens from all tissues. simply because each one tissue offers its personal exact structure and milieu, it will be significant for the immune approach to be as malleable because it is dynamic.

Building Vocabulary for College , Seventh Edition - download pdf or read online

Development Vocabulary for faculty is a vocabulary worktext that is helping scholars bring up their educational vocabulary via a realistic, memorization-based strategy. clients love the e-book for its "conciseness but broadness of application," its concentrate on notice components, its non-condescending tone, and its emphasis on educational phrases.

Extra info for Indifference Pricing in a Basis Risk Model with Stochastic Volatility

Sample text

E. H. Karlsen, A PDE representation of the density of the minimal entropy martingale measure in stochastic volatility markets, Stochastics, 77(2), 109-137, (2005) [2] F. Black, M. A. H. R. A. Davis, Option hedging with basis risk, in Y. Kabanov, R. Liptser and J. Stoyanov, eds, ‘From Stochastic Calculus to Mathematical Finance’, Springer, pp. 169-187 (2006) [5] F. Delbaen, P. Grandits, T. Rheinl¨ainder, D. Sampieri, M. Schweizer, Ch. Stricker, Exponential hedging and entropic penalties, Mathematical Finance, 12:99-124, (2002) [6] F.

McWalter, Quadratic hedging of basis risk, Quantitative Finance Research Centre, Research paper 225 (2008) [15] J. Kallsen, T. Rheinl¨ander, Asymptotic utility-based pricing and hedging for exponential utility, Statistics & Decisions, 28, 17-36, (2011) [16] I. P. E. Shreve, G-L. Xu, Martingale and duality methods for utility maximization in an incomplete market, SIAM Journal of Control and Optimisation, 29:702-730 (1991) [17] D. Kramkov, M. C. Merton, Lifetime portfolio selection under uncertainty: the continuous-time case, Rev.

Although it is a common practice to look at exponential utility due to its ability to simplify problem in computing indifference price, it is worth noting that using such utility function removes the initial wealth dependence from the indifference price that is a desirable feature to have. As a result, it would be a good idea to consider power utility, but one can imagine the computational complexity that arose when we are considering a 4 dimensional indifference price. Also, the use of power utility in the maximization problem might pose difficulties in pricing short position claims.

Download PDF sample

Indifference Pricing in a Basis Risk Model with Stochastic Volatility by Kwok-Chung Ivan, Lam

by James

Rated 4.53 of 5 – based on 9 votes