Incomplete markets
J Staum - Handbooks in operations research and management …, 2007 - Elsevier
In reality, markets are incomplete, meaning that some payoffs cannot be replicated by
trading in marketed securities. The classic no-arbitrage theory of valuation in a complete …
trading in marketed securities. The classic no-arbitrage theory of valuation in a complete …
Valuation and hedging of life insurance liabilities with systematic mortality risk
M Dahl, T Møller - Insurance: mathematics and economics, 2006 - Elsevier
This paper considers the problem of valuating and hedging life insurance contracts that are
subject to systematic mortality risk in the sense that the mortality intensity of all policy …
subject to systematic mortality risk in the sense that the mortality intensity of all policy …
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 …
An example of indifference prices under exponential preferences
M Musiela, T Zariphopoulou - Finance and Stochastics, 2004 - Springer
The aim herein is to analyze utility-based prices and hedging strategies. The analysis is
based on an explicitly solved example of a European claim written on a nontraded asset, in …
based on an explicitly solved example of a European claim written on a nontraded asset, in …
Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging
D Becherer - 2006 - projecteuclid.org
We prove results on bounded solutions to backward stochastic equations driven by random
measures. Those bounded BSDE solutions are then applied to solve different stochastic …
measures. Those bounded BSDE solutions are then applied to solve different stochastic …
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 …
Dynamic indifference valuation via convex risk measures
S Klöppel, M Schweizer - Mathematical Finance, 2007 - Wiley Online Library
The (subjective) indifference value of a payoff in an incomplete financial market is that
monetary amount which leaves an agent indifferent between buying or not buying the payoff …
monetary amount which leaves an agent indifferent between buying or not buying the payoff …
Dynamic exponential utility indifference valuation
M Mania, M Schweizer - 2005 - projecteuclid.org
We study the dynamics of the exponential utility indifference value process C (B; α) for a
contingent claim B in a semimartingale model with a general continuous filtration. We prove …
contingent claim B in a semimartingale model with a general continuous filtration. We prove …
[图书][B] Mathematical finance
E Eberlein, J Kallsen - 2019 - Springer
Ernst Eberlein Jan Kallsen Page 1 Springer Finance Ernst Eberlein Jan Kallsen Mathematical
Finance Page 2 Springer Finance Editorial Board Marco Avellaneda Giovanni Barone-Adesi …
Finance Page 2 Springer Finance Editorial Board Marco Avellaneda Giovanni Barone-Adesi …
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 …