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Author : 蔡宏洲
Publisher :
ISBN 13 :
Total Pages : 166 pages
Book Rating : 4.:/5 (31 download)
Download or read book Three Essays on Contingent Claim Valuation in Incomplete Markets written by 蔡宏洲 and published by . This book was released on 2007 with total page 166 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Nathanael David Ringer
Publisher :
ISBN 13 :
Total Pages : 146 pages
Book Rating : 4.:/5 (728 download)
Download or read book Three Essays on Valuation and Investment in Incomplete Markets written by Nathanael David Ringer and published by . This book was released on 2011 with total page 146 pages. Available in PDF, EPUB and Kindle. Book excerpt: Incomplete markets provide many challenges for both investment decisions and valuation problems. While both problems have received extensive attention in complete markets, there remain many open areas in the theory of incomplete markets. We present the results in three parts. In the first essay we consider the Merton investment problem of optimal portfolio choice when the traded instruments are the set of zero-coupon bonds. Working within a Markovian Heath-Jarrow-Morton framework of the interest rate term structure driven by an infinite dimensional Wiener process, we give sufficient conditions for the existence and uniqueness of an optimal investment strategy. When there is uniqueness, we provide a characterization of the optimal portfolio. Furthermore, we show that a specific Gauss-Markov random field model can be treated within this framework, and explicitly calculate the optimal portfolio. We show that the optimal portfolio in this case can be identified with the discontinuities of a certain function of the market parameters. In the second essay we price a claim, using the indifference valuation methodology, in the model presented in the first section. We appeal to the indifference pricing framework instead of the classic Black-Scholes method due to the natural incompleteness in such a market model. Because we price time-sensitive interest rate claims, the units in which we price are very important. This will require us to take care in formulating the investor's utility function in terms of the units in which we express the wealth function. This leads to new results, namely a general change-of-numeraire theorem in incomplete markets via indifference pricing. Lastly, in the third essay, we propose a method to price credit derivatives, namely collateralized debt obligations (CDOs) using indifference. We develop a numerical algorithm for pricing such CDOs. The high illiquidity of the CDO market coupled with the allowance of default in the underlying traded assets creates a very incomplete market. We explain the market-observed prices of such credit derivatives via the risk aversion of investors. In addition to a general algorithm, several approximation schemes are proposed.
Author : Timothy Kenneth Munro Beatty
Publisher : Ann Arbor, Mich. : University Microfilms International
ISBN 13 :
Total Pages : 254 pages
Book Rating : 4.:/5 (34 download)
Download or read book Three Essays on Contingent Valuation written by Timothy Kenneth Munro Beatty and published by Ann Arbor, Mich. : University Microfilms International. This book was released on 2001 with total page 254 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Peter og Klaus N.D. Møller og Krarup-Christensen
Publisher :
ISBN 13 :
Total Pages : 155 pages
Book Rating : 4.:/5 (115 download)
Download or read book Valuation and Hedging of Contingent Claims in Complete and Incomplete Markets written by Peter og Klaus N.D. Møller og Krarup-Christensen and published by . This book was released on 1993 with total page 155 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Chih-Chen Liu
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (246 download)
Download or read book Three Essays on Contingent Valuation Method written by Chih-Chen Liu and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Philippe Polomé
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (87 download)
Download or read book Three essays on validating contingent valuation written by Philippe Polomé and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Julie M. Mueller
Publisher :
ISBN 13 :
Total Pages : 248 pages
Book Rating : 4.:/5 (184 download)
Download or read book Three Essays on Non-market Valuation Using Hedonic Property and Contingent Valuation Techniques written by Julie M. Mueller and published by . This book was released on 2007 with total page 248 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Anlong Li
Publisher :
ISBN 13 :
Total Pages : 139 pages
Book Rating : 4.:/5 (129 download)
Download or read book Three Essays on Contingent Claims Pricing written by Anlong Li and published by . This book was released on 2006 with total page 139 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of three research topics in contemporary financial option pricing theories and their applications. The common theme of those topics involves the pricing of financial claims whose value become path-dependent when using the usual lattice approximating schemes.The first essay explores the potential of transformation and other schemes in constructing a sequence of simple binomial processes that weakly converges to the desired diffusion limit. Convergence results are established for the valuation of both European and American contingent claims when the underlying asset prices are approximated by simple binomial processes. It is also demonstrated how to construct reflecting or absorbing binomial processes to approximate diffusions with boundaries. Numerical examples demonstrate that the proposed simple approximations not only converge, but also give more accurate results then existing methods such as Nelson and Ramaswamy (1990), especially for longer maturities.Our purpose in essay 2 is two-fold. First we extend some of the simple lattice-approximation methods for one-dimensional diffusions to higher dimensions and develop special lattices to approximate perfectly correlated diffusions. We then examine current modelling issues of the term structure of interest rates, and demonstrate how to apply the approximation techniques developed here to handle path-dependence and multi-sources of uncertainty in these models.The last essay analyzes the investment decisions of insured banks under fixed-rate deposit insurance. The model takes into account the charter value and allows banks to dynamically revise their asset portfolios. Trade-offs exists between preserving the charter and exploiting deposit insurance. The optimal bank portfolio problem is solved analytically for a constant charter value. In any audit period, banks maximize their risk exposure before some critical time and act cautiously thereafter. The corresponding deposit insurance is shown to be a put option that matures at this critical time rather than at the audit date.
Author : Jacques Drèze
Publisher : CUP Archive
ISBN 13 : 9780521386975
Total Pages : 460 pages
Book Rating : 4.3/5 (869 download)
Download or read book Essays on Economic Decisions Under Uncertainty written by Jacques Drèze and published by CUP Archive. This book was released on 1990-05-25 with total page 460 pages. Available in PDF, EPUB and Kindle. Book excerpt: Professor Dreze is a highly respected mathematical economist and econometrician. This book brings together some of his major contributions to the economic theory of decision making under uncertainty, and also several essays. These include an important essay on 'Decision theory under moral hazard and state dependent preferences' that significantly extends modern theory, and which provides rigorous foundations for subsequent chapters. Topics covered within the theory include decision theory, market allocation and prices, consumer decisions, theory of the firm, labour contracts, and public decisions.
Author : Harry Charles DeAngelo
Publisher :
ISBN 13 :
Total Pages : 204 pages
Book Rating : 4.:/5 ( download)
Download or read book Three Essays in Financial Economics written by Harry Charles DeAngelo and published by . This book was released on 1977 with total page 204 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jamil Baz
Publisher :
ISBN 13 :
Total Pages : 224 pages
Book Rating : 4.:/5 (346 download)
Download or read book Three Essays on Contingent Claims written by Jamil Baz and published by . This book was released on 1995 with total page 224 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Bjarke Jensen
Publisher :
ISBN 13 : 9788790117344
Total Pages : pages
Book Rating : 4.1/5 (173 download)
Download or read book Five Essays on Contingent Claim Valuation written by Bjarke Jensen and published by . This book was released on 1999 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : In Joon Kim
Publisher :
ISBN 13 :
Total Pages : 344 pages
Book Rating : 4.:/5 (57 download)
Download or read book Essays on the Valuation of Contingent Claims written by In Joon Kim and published by . This book was released on 1987 with total page 344 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : George Yin
Publisher : Springer Nature
ISBN 13 : 3030985199
Total Pages : 466 pages
Book Rating : 4.0/5 (39 download)
Download or read book Stochastic Analysis, Filtering, and Stochastic Optimization written by George Yin and published by Springer Nature. This book was released on 2022-04-22 with total page 466 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume is a collection of research works to honor the late Professor Mark H.A. Davis, whose pioneering work in the areas of Stochastic Processes, Filtering, and Stochastic Optimization spans more than five decades. Invited authors include his dissertation advisor, past collaborators, colleagues, mentees, and graduate students of Professor Davis, as well as scholars who have worked in the above areas. Their contributions may expand upon topics in piecewise deterministic processes, pathwise stochastic calculus, martingale methods in stochastic optimization, filtering, mean-field games, time-inconsistency, as well as impulse, singular, risk-sensitive and robust stochastic control.
Author : Kathrin Glau
Publisher : Springer
ISBN 13 : 3319334468
Total Pages : 446 pages
Book Rating : 4.3/5 (193 download)
Download or read book Innovations in Derivatives Markets written by Kathrin Glau and published by Springer. This book was released on 2016-12-02 with total page 446 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents 20 peer-reviewed chapters on current aspects of derivatives markets and derivative pricing. The contributions, written by leading researchers in the field as well as experienced authors from the financial industry, present the state of the art in: • Modeling counterparty credit risk: credit valuation adjustment, debit valuation adjustment, funding valuation adjustment, and wrong way risk. • Pricing and hedging in fixed-income markets and multi-curve interest-rate modeling. • Recent developments concerning contingent convertible bonds, the measuring of basis spreads, and the modeling of implied correlations. The recent financial crisis has cast tremendous doubts on the classical view on derivative pricing. Now, counterparty credit risk and liquidity issues are integral aspects of a prudent valuation procedure and the reference interest rates are represented by a multitude of curves according to their different periods and maturities. A panel discussion included in the book (featuring Damiano Brigo, Christian Fries, John Hull, and Daniel Sommer) on the foundations of modeling and pricing in the presence of counterparty credit risk provides intriguing insights on the debate.
Author : G. Constantinides
Publisher : Elsevier
ISBN 13 : 0080495087
Total Pages : 698 pages
Book Rating : 4.0/5 (84 download)
Download or read book Handbook of the Economics of Finance written by G. Constantinides and published by Elsevier. This book was released on 2003-11-04 with total page 698 pages. Available in PDF, EPUB and Kindle. Book excerpt: Volume 1B covers the economics of financial markets: the saving and investment decisions; the valuation of equities, derivatives, and fixed income securities; and market microstructure.
Author : Charles S. Wassell
Publisher :
ISBN 13 :
Total Pages : 188 pages
Book Rating : 4.:/5 (89 download)
Download or read book Three Essays on Macroeconomics written by Charles S. Wassell and published by . This book was released on 2003 with total page 188 pages. Available in PDF, EPUB and Kindle. Book excerpt:
