Die vorliegende Arbeit versucht, die zentralen ökonomischen Aussagen der Bewertungstheorie in einem einfachen einperiodigen Modell darzustellen.

Die vorliegende Arbeit ermittelt Optionsbewertungsformeln für denSprung/Diffusionsfall unter modellexogenem und -endogenem Zins, basierend auf einer im Vergleich zur Literatur wesentlichmodifizierten Sprungdarstellung.

In modern finance, the value of an active investment strategy is measured by comparing its performance against the benchmark of passively holding the market portfolio and the riskless asset.(...)

We build a multi-factor, no-arbitrage model of the term structure of spot interest rates. The stochastic factors are the short-term interest rate and the premia of the futures rates over the short-term interest rates.(...)

Th~s (mostly) expository paper describes the importance of hedging to the pricing of modern financml products...

Here we develop methods for e±cient pricing multidimensional discrete-time American and Bermudan options by using regression based algorithms together with a new approach towards constructing upper bounds for the price of the option...

The calibration of option pricing models leads to the minimization of an error functional. We show that its usual specification as a root mean squared error implies fluctuating exotics prices and possibly wrong prices...

Option pricing models are calibrated to market data of plain vanillas by minimization of an error functional. From the economic viewpoint, there are several possibilities to measure the error between the market and the model. These different specifications of the error give rise to different...

State price density (SPD) contains important information concerning market expectations. In existing literature, a constrained estimator of the SPD is found by nonlinear least squares in a suitable Sobolev space...