Die vorliegende Arbeit beschäftigt sich mit der Frage nach dem monetären Wert der technischen Zuverlässigkeit für eine Fluggesellschaft. Zu diesem Zweck wurde ein GRASP Algorithmus in Verbindung mit einer Monte-Carlo Simulation entwickelt, der Flugpläne unter Variation statistischer...

This paper shows that the presence of conditional staging in R&D (Research & Development) has a critical impact on portfolio risk, and changes diversification arguments when a portfolio is constructed. When R&D projects exhibit option-like characteristics, correlation between projects plays a...

We propose a way to compute the hedging Delta using the Malliavin weight method. Our approach, which we name the l-method, generally outperforms the standard Monte Carlo finite difference method, especially for discontinuous payoffs. Furthermore, our approach is nonparametric, as we only assume...

Portfolio diversification is an accepted principle of risk management. When constructing an efficient portfolio, there are a number of asset classes to choose from. Financial innovation is expanding the range of instruments. In addition to traditional commodities and securities, other...

This study yields a contribution to a better understanding of the interest rate sensitivity of real estate and should enable a more sophisticated interest rate risk management, especially for insurance companies and pension funds. This is achieved by modelling the whole life of a typical but...