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Good Deal Hedging and Valuation Under Combined Uncertainty About Drift and Volatility
Becherer, Dirk - 2018
. Hedging strategies are robust with respect to uncertainty in the sense that their tracking errors satisfy a supermartingale …
Persistent link: https://www.econbiz.de/10012934249
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Ambiguity, Volatility, and Credit Risk
Augustin, Patrick - 2019
We explore the implications of ambiguity for the pricing of credit default swaps (CDSs). A model of heterogeneous investors with independent preferences for ambiguity and risk shows that, since CDS contracts are assets in zero net supply, the net credit risk exposure of the marginal investor...
Persistent link: https://www.econbiz.de/10012903357
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Financial markets with volatility uncertainty
Vorbrink, Jörg - 2010
financial market that features volatility uncertainty. To have a mathematical consistent framework we use the notion of G … uncertainty the market is not complete any more. We establish the interval of no-arbitrage prices for general European contingent …
Persistent link: https://www.econbiz.de/10010285421
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Financial markets with volatility uncertainty
Vorbrink, Jörg - 2010
financial market that features volatility uncertainty. To have a mathematical consistent framework we use the notion of G … uncertainty the market is not complete any more. We establish the interval of no-arbitrage prices for general European contingent … uncertainty ; G-Brownian motion stochastic calculus …
Persistent link: https://www.econbiz.de/10008746123
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Decision making in incomplete markets with ambiguity : a case study of a gas field acquisition
Zhao, Lin; Wijnbergen, Sweder van - 2014
We apply utility indifference pricing to solve a contingent claim problem, valuing a connected pair of gas fields where the underlying process is not standard Geometric Brownian motion and the assumption of complete markets is not fulfilled. First, empirical data are often characterized by...
Persistent link: https://www.econbiz.de/10010465169
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Stochastic-Volatility, Jump-Diffusion Optimal Portfolio Problem with Jumps in Returns and Volatility
Hanson, Floyd B. - 2011
This paper treats the risk-averse optimal portfolio problem with consumption in continuous time for a stochastic-jump-volatility, jump-diffusion (SJVJD) model of the underlying risky asset and the volatility. The new developments are the use of the SJVJD model with...
Persistent link: https://www.econbiz.de/10013123110
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Random Geometric Analysis in the Stochastic Volatility : Financial Markets States Degeneracy
Chule, Siyabonga - 2017
The risky assets prices of the bi-variate model are reviewed under the hegemonize concentration filtered physical probability space. In the stochastic variance of the Cox-Ingersoll-Ross process. The Mean-variance hedging expanse on the Föllmer-Schweizer decomposition is stringent to the...
Persistent link: https://www.econbiz.de/10012956358
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A Stochastic Optimal Control for Max-Min Utility with Volatility Ambiguity
Yang, Shuzhen - 2014
In this paper, we study a stochastic optimal control for max-min utility admitting volatility ambiguity. By standard assumptions, we establish the dynamic programming principle and the related Hamilton-Jacobi-Bellman (HJB) equation. Finally, we show that the value function is a viscosity...
Persistent link: https://www.econbiz.de/10013048206
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Ambiguity Aversion in Algorithmic and High Frequency Trading
Donnelly, Ryan Francis - 2014
The concept of model uncertainty is one of increasing importance in the field of Mathematical Finance. The main goal of … this work is to explore model uncertainty in the specific area of algorithmic and high frequency trading. From a … behavioural perspective, model uncertainty naturally leads to the notion of ambiguity aversion - a person's tendency to avoid …
Persistent link: https://www.econbiz.de/10013043893
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Portfolio Execution with a Dark Pool Under Stochastic Volatility and Liquidity
Cheridito, Patrick - 2014
In this paper we study a portfolio execution problem in a discrete-time model in which orders can be submitted to a standard exchange and a dark pool. We model volatilities and correlations as stochastic processes and assume that trading at the standard exchange causes price impact. Orders sent...
Persistent link: https://www.econbiz.de/10013045375