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These are my Lecture Notes for a course in Continuous Time Finance which I taught in the Summer term 2003 at the University of Kaiserslautern. I am aware that the notes are not yet free of error and the manuscrip needs further improvement. I am happy about any comment on the notes. Please send...
Persistent link: https://www.econbiz.de/10012730334
These are my Lecture Notes for a course in Discrete Time Finance which I taught in the Winter term 2005 at the University of Leeds. I am aware that the notes are not yet free of error and the manuscrip needs further improvement. I am happy about any comment on the notes. Please send your...
Persistent link: https://www.econbiz.de/10012730335
In this paper the performance of locally risk-minimizing hedge strategies for European options in stochastic volatility models is studied from an experimental as well as from an empirical perspective. These hedge strategies are derived for a large class of diffusion-type stochastic volatility...
Persistent link: https://www.econbiz.de/10012730819
We show that the Heston volatility or equivalently the Cox-Ingersoll-Ross process is Malliavin differentiable and give an explicit expression for the derivative. This result assures the applicability of Malliavin calculus in the framework of the Heston stochastic volatility model and the...
Persistent link: https://www.econbiz.de/10012735933
In this article we show how the classical probabilistic technique of Malliavin calculus can be applied to study interesting aspects in the theory of stochastic differential games. These include in particular the aspect of information asymmetry. We identify the limitations of the classical setup...
Persistent link: https://www.econbiz.de/10012773003
We combine methods for portfolio optimization in incomplete markets which are due to Karatzas et al. [6] with methods proposed by Nualart based on Malliavin Calculus to model insider trading within a stochastic volatility model. We compute the optimal portfolio within a certain set of insider...
Persistent link: https://www.econbiz.de/10012773013
We implement the Heston stochastic volatility model by using multidimensional Ornstein-Uhlenbeck processes and a special Girsanov transformation, and consider the Malliavin calculus of this model. We derive explicit formulas for the Malliavin derivatives of the Heston volatility and the...
Persistent link: https://www.econbiz.de/10012773670
We develop a dynamic valuation model of the hedge fund seeding business by solving the consumption and portfolio-choice problem for a risk-averse manager who launches a hedge fund through a seeding vehicle. This vehicle, i.e. fees-for-seed swap, specifies that a strategic partner (seeder)...
Persistent link: https://www.econbiz.de/10012904759
In this paper we extend the consumption-investment life cycle model for an uncertain-lived agent, proposed by Richard (1974), to allow for flexible labor supply. We further study the consumption, labor supply and portfolio decisions of an agent facing age-dependent mortality risk, as presented...
Persistent link: https://www.econbiz.de/10012905669
We consider a diffusion (Xt) satisfying the stochastic differential equation dXt = agrave;3B2(Xt, u)dt agrave;3C3(Xt, v)dWt where u and v are parameters and consider the problem of minimizing certain functionals of the form View the MathML source in u and v where ti set membership, variant [0, T]...
Persistent link: https://www.econbiz.de/10012772034