The thesis considers an investor's problem of optimal consumption and portfolio choice in a financial market. The model used for the financial market is the semimartingales model. The thesis shows that an optimal solution to this problem exists, even if the investor is contrained in the...

A standard hidden information model is considered to study the influence of the a priori productivity distribution on the optimal contract. A priori more productive (hazard rate dominant) agents work less, enjoy lower rents, but generate a higher expected surplus.

Statistical Tools in Finance and Insurance presents ready-to-use solutions, theoretical developments and method construction for many practical problems in quantitative finance and insurance. Written by practitioners and leading academics in the field of quantitative finance and insurance, this...