Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 13 of 13 for “"Contingent Claim"”.
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RAROC-Based contingent claim valuation
… dissertation investigates the valuation of a contingent claim based on the criterion RAROC, an abbreviation of Risk-Adjusted Return on Capital. RAROC is defined as the ratio of expected return to risk, and may therefore be regarded as a performance measure. RAROC-based pricing theory can …
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Stochastic Volatility Models for Contingent Claim Pricing and Hedging
The present mini-thesis seeks to explore and investigate the mathematical theory and concepts that underpins the valuation of derivative securities, particularly European plainvanilla options. The main argument that we emphasise is that novel models of option pricing, as is suggested by Hull and …
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Deep Hedging of basis risk
Basis risk arises when the writer of a contingent claim cannot trade in the underlying asset and must use a correlated proxy asset to hedge the contingent claim. Suppose the proxy asset is not perfectly correlated to the underlying. In that case, there is a risk that the hedge portfolio does not …
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On optimal arbitrage under constraints
… of wealth needed to superreplicate) a given contingent claim in a constrained market can be expressed as the supremum of the fair price of the given contingent claim under certain unconstrained auxiliary Markovian markets. Under suitable assumptions, we further characterize the upper hedging …
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Optimal Trading Strategies Under Arbitrage
… A market is complete, meaning that any bounded contingent claim is replicable, if and only if the stochastic discount factor is unique. Conditions under which a contingent claim can be perfectly replicated in an incomplete market are established. Then, precise conditions under which relative …
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Implementation of numerical Fourier method for second order Taylor schemes
The problem of pricing contingent claims in a complete market has received a significant amount of attention in literature since the seminal work of Black, Fischer and Scholes, Myron (1973). It was also in 1973 that the theory of backward stochastic differential equations (BSDEs) was developed by …
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Application of Lie symmetries to Solving Partial Differential Equations associated with the Mathematics of Finance
… literature as the main vehicle for pricing contingent claims such as call and put options, together with all other financial derivatives. Due to their work a rich arsenal of methods of theory of partial differential equations were suddenly available for mathematicians working in the area of …
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Bank Decision on Capital and Risk Under Capital Regulation
… Incorporating regulatory cost constraints into a contingent claim model of bank equity, equity holder payoffs are derived from an option pricing framework. Linear regulatory costs allow analytic closed from solutions. Numerical simulations suggest that bank decisions on capital and risk depend on …
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Incorporating default risk into the Black-Scholes model using stochastic barrier option pricing theory
… of many types of financial contracts and contingent claim agreements is complicated by the possibility that one party will default on their contractual obligations. This dissertation develops a general model that prices Black-Scholes options subject to intertemporal default risk using …
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Optimal Stopping Problems with A Random Time Horizon
… powerful set of tools for the study of American contingent claim pricing problem in mathematical finance. We give a self-contained overview of the theory, including the complete proofs of existence and uniqueness theorems for the optimal stopping time in finite-time formulation. These theorems …
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Three essays in financial economics
… puzzling findings are in fact consistent with contingent claim pricing. Corporate bonds typically have low credit risk and their hedge ratios, or the sensitivity of debt to equity, are quite small. As a result, much less than 10% of equity return premia translate to corresponding bond return …
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Dynamic hedging in illiquid financial markets
… against the financial risk of writing a contingent claim in an illiquid financial market. Mathematically, this amounts to study various stochastic optimal control problems with suitable nonlinear dynamics. We introduce a price impact model which accounts for finite market depth, market …
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Essays on real options and strategic behaviour.
… primary purpose of this study is to extend the contingent claim approach by introducing a strategic dimension into the investment decision. In particular we focus on the case where an investor may be preempted by one or more competitors, and where there is an advantage of acting first. Secondly, …