Utility indifference pricing-an overview
V Henderson, D Hobson - Volume on Indifference Pricing, 2004 - degruyter.com
The idea of gamblers ranking risky lotteries by their expected utilities dates back to Bernoulli
[22]. An individual's certainty equivalent amount is the certain amount of money that makes …
[22]. An individual's certainty equivalent amount is the certain amount of money that makes …
Credit risk modeling
D Lando - Handbook of Financial Time Series, 2009 - Springer
The chapter gives a broad outline of the central themes of credit risk modeling starting with
the modeling of default probabilities, ratings and recovery. We present the two main …
the modeling of default probabilities, ratings and recovery. We present the two main …
Exponential hedging and entropic penalties
F Delbaen, P Grandits, T Rheinländer… - Mathematical …, 2002 - Wiley Online Library
We solve the problem of hedging a contingent claim B by maximizing the expected
exponential utility of terminal net wealth for a locally bounded semimartingale X. We prove a …
exponential utility of terminal net wealth for a locally bounded semimartingale X. We prove a …
[图书][B] Indifference pricing: theory and applications
R Carmona - 2008 - degruyter.com
This is the first book about the emerging field of utility indifference pricing for valuing
derivatives in incomplete markets. René Carmona brings together a who's who of leading …
derivatives in incomplete markets. René Carmona brings together a who's who of leading …
Inf-convolution of risk measures and optimal risk transfer
P Barrieu, N El Karoui - Finance and stochastics, 2005 - Springer
We develop a methodology for optimal design of financial instruments aimed to hedge some
forms of risk that is not traded on financial markets. The idea is to minimize the risk of the …
forms of risk that is not traded on financial markets. The idea is to minimize the risk of the …
Valuation of claims on nontraded assets using utility maximization
V Henderson - Mathematical Finance, 2002 - Wiley Online Library
A topical problem is how to price and hedge claims on nontraded assets. A natural approach
is to use for hedging purposes another similar asset or index which is traded. To model this …
is to use for hedging purposes another similar asset or index which is traded. To model this …
Pricing, hedging, and designing derivatives with risk measures
P Barrieu, N El Karoui - Indifference pricing: Theory and applications, 2009 - degruyter.com
The question of pricing and hedging a given contingent claim has a unique solution in a
complete market framework. When some incompleteness is introduced, the problem …
complete market framework. When some incompleteness is introduced, the problem …
Optimal derivatives design under dynamic risk measures
P Barrieu, N El Karoui - Contemporary Mathematics, 2004 - books.google.com
We develop a methodology to optimally design a financial issue to hedge non-tradable risk
on financial markets. Economic agents assess their risk using monetary risk measure. The …
on financial markets. Economic agents assess their risk using monetary risk measure. The …
A monetary value for initial information in portfolio optimization
J Amendinger, D Becherer, M Schweizer - Finance and Stochastics, 2003 - Springer
We consider an investor maximizing his expected utility from terminal wealth with portfolio
decisions based on the available information flow. This investor faces the opportunity to …
decisions based on the available information flow. This investor faces the opportunity to …
Rational hedging and valuation of integrated risks under constant absolute risk aversion
D Becherer - Insurance: Mathematics and economics, 2003 - Elsevier
We study a rational valuation and hedging principle for contingent claims which integrate
tradable and non-tradable sources of risk. The principle is based on the preferences of a …
tradable and non-tradable sources of risk. The principle is based on the preferences of a …