Narrow search
Showing 1 - 10 of 15,680
Cover Image
Efficient abatement in separated carbon markets: A theoretical and quantitative analysis of the EU emissions trading scheme
Peterson, Sonja - 2006
theoretical as well as the quantitative analysis, recommendations are derived for a better allocation of the reduction burden …
Persistent link: https://www.econbiz.de/10010273116
Cover Image
Optimal Control of Linear Stochastic Systems with Singular Costs, and the Mean-Variance Hedging Problem with Stochastic Market Conditions
Kohlmann, Michael; Shanjian, Tang - 2000
, applications are given to the mean-variance hedging problem with random market conditions, and an explicit characterization for the … optimal hedging portfolio is given in terms of the adapted solution of the associated backward stochastic Riccati differential …
Persistent link: https://www.econbiz.de/10010324035
Cover Image
Utility Maximization and Duality
Leitner, Johannes - 2000
In an arbitrage free incomplete market we consider the problem of maximizing terminal isoelastic utility. The relationship between the optimal portfolio, the optimal martingale measure in the dual problem and the optimal value function of the problem is described by an BSDE. For a totally...
Persistent link: https://www.econbiz.de/10010324036
Cover Image
Recent Advances in Backward Stochastics Riccati Equations and Their Applications
Kohlmann, Michael; Tang, Shanjian - 2000
The following backward stochastic Riccati differential equation (BSRDE in short) is motivated, and is then studied. Some properties are presented. The existence and uniqueness of a global adapted solution to a BSRDE has been open for the case D i 6= 0 for more than two decades. Our recent...
Persistent link: https://www.econbiz.de/10010324042
Cover Image
The Informed and Uninformed Agent's Price of a Contingent Claim
Kohlmann, Michael; Zhou, Xun Yu - 1999
both the classical and the Föllmer-Schweizer hedging case. …
Persistent link: https://www.econbiz.de/10010324069
Cover Image
Global Adapted Solution of One-Dimensional Backward Stochastic Riccati Equations, with Application to the Mean-Variance Hedging
Kohlmann, Michael; Tang, Shanjian - 2000
applied to solve the mean-variance hedging problem with stochastic market conditions. …
Persistent link: https://www.econbiz.de/10010324079
Cover Image
Neyman-Pearson Hedging and Dynamic Measures of Risk
Kohlmann, Michael - 2000
main aim is to minimize this shortfall risk by making use of results from bsde theory. …
Persistent link: https://www.econbiz.de/10010324097
Cover Image
When are Static Superhedging Strategies Optimal?
Branger, Nicole; Esser, Angelika; Schlag, Christian - 2004
This paper deals with the superhedging of derivatives on incomplete markets, i.e. with portfolio strategies which generate payoffs at least as high as that of a given contingent claim. The simplest solution to this problem is in many cases a static superhedge, i.e. a buy-and-hold strategy...
Persistent link: https://www.econbiz.de/10010263307
Cover Image
The Uncertain Mortality Intensity Framework: Pricing and Hedging Unit-Linked Life Insurance Contracts
Li, Jing; Szimayer, Alexander - 2010
We study the valuation and hedging of unit-linked life insurance contracts in a setting where mortality intensity is …. We also show that the induced hedging strategies indeed produce a dynamic superhedge and subhedge under the statistical … by finite difference methods. For our contracts and choice of parameters the pricing and hedging is fairly robust with …
Persistent link: https://www.econbiz.de/10010270425
Cover Image
Tractable Hedging: An Implementation of Robust Hedging Strategies
Branger, Nicole; Mahayni, Antje - 2004
This paper provides a theoretical and numerical analysis of robust hedging strategies in diffusion?type models … including stochastic volatility models. A robust hedging strategy avoids any losses as long as the realised volatility stays …
Persistent link: https://www.econbiz.de/10010316082