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A Bayesian approach to financial model calibration, uncertainty measures and optimal hedging
Gupta, Alok; Reisinger, Christoph - 2010
In this thesis we address problems associated with financial modelling from a Bayesian point of view. Specifically, we look at the problem of calibrating financial models, measuring the model uncertainty of a claim and choosing an optimal hedging strategy. Throughout the study, the local...
Persistent link: https://www.econbiz.de/10009441418
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Mikro-Zertifikate
Müller, Olaf L. - 2009
Wie müsste eine faire Lösung des Klimaproblems aussehen? Wie sollten wir Pflichten und finanzielle Lasten der nötigen CO2-Reduktionen verteilen, wenn es dabei gerecht zugehen soll und keiner übervorteilt werden darf? In meiner Antwort auf diese ethischen Fragen stütze ich mich auf einen...
Persistent link: https://www.econbiz.de/10009467052
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A Methodological Case Study on the Theory of Demand
Müller, Olaf L. - 2005
My philosophical case study concerns textbook presentations of the theory of demand. Does this theory contain anything …. But then, the theory implies false factual claims. We can avoid this result by embracing the theory’s normative character … of physics by Oliver Timmer. Applying his ideas to the theory of demand reveals that the statements of this discipline …
Persistent link: https://www.econbiz.de/10009467037
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Multi-factor Energy Price Models and Exotic Derivatives Pricing
Hikspoors, Samuel - 2008
mathematicaltools aiming at a better theory of energy contingent claim pricing/hedging. We proposemany realistic two-factor and three …
Persistent link: https://www.econbiz.de/10009455372
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Dynamics of asset price changes: Statistical and differential equations models
DeSantis, Mark - 2011
This dissertation is comprised of two related tracts: (i) Quantitative Modeling and (ii) Analysis of Asset Flow Differential Equations. In the former a data set of over 100,000 daily closed-end fund prices is analyzed using mixed-effects regressions with the objective of understanding price...
Persistent link: https://www.econbiz.de/10009428797
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Overreaction Behavior and Optimization Techniques in Mathematical Finance
Duran, Ahmet - 2006
Overreactions and other behavioral effects in stock prices can best be examined by adjusting for the changes in fundamentals. We perform this by subtracting the relative price changes in the net asset value (NAV) from that of market price (MP) daily for a large set of closed-end funds trading in...
Persistent link: https://www.econbiz.de/10009428927
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Risk Analysis of Life Insurance Products
Zelch, Christine Marie - 2011
This paper takes a simple life insurance product that pays a benefit upon the death of a person and looks at two separate ways of setting the price, or premium, for the product. The premium is collected only once; on the date that the product is purchased. The first method of pricing uses the...
Persistent link: https://www.econbiz.de/10009428935
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Theoretical and Empirical Analysis of Common Factors in a Term Structure Model
Huang, Ting Ting - 2008
finance. After reviewing a mathematical theory on commonfactors, also known as principal components, we compute empirical …
Persistent link: https://www.econbiz.de/10009428938
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The effective manager, 1998-05-01, tape 1
Drucker, Peter F. (Peter Ferdinand) - 1998
learning statistics and gives a brief history of mathematics and statistics. He then explains that insurance made the modern …
Persistent link: https://www.econbiz.de/10009429639
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On the foundations of intertemporal economic models
Barut, Yasar N - 1998
In the second chapter, we investigate the existence of a competitive equilibrium in a deterministic intertemporal economy with infinitely many consumers when the aggregate wealth is restricted to be finite. After we show the existence we discuss the efficiency of the equilibrium in relation with...
Persistent link: https://www.econbiz.de/10009430454