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 11 of 11 for “"Dynamic Hedging"”.
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Dynamic hedging in illiquid financial markets
… we address the problem of constructing effective hedging strategies 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 …
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Pricing and dynamic hedging strategies for a bond-linked life insurance policy with a guarantee
Variable life insurance (VL) has gained great popularity for its fluctuating but minimum guaranteed death benefit under the high level of inflation in the late 1970's. It also offers policyowner a choice of vehicles in which the cash value can be invested. The risk from the death value guarantee is …
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Multi-Agent Deep Reinforcement Learning and GAN-Based Market Simulation for Derivatives Pricing and Dynamic Hedging
… methods to price assets and develop trading and hedging strategies, deep reinforcement learning has proven to be an effective method to learn optimal policies for pricing and hedging. Machine learning removes the need for various parametric assumptions about underlying market dynamics by learning …
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The simulation of the dynamic hedging of guaranteed equity bonds issued by a South African life office
This dissertation illustrates how in-house dynamic hedging could be evaluated through modeling, simulation and sensitivity testing. The illustration helps to illuminate the financial benefits and associated risks of dynamic hedging, but does not provide a specific conclusion on whether dynamic …
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Volatility trading system design with scaling Risk Management
… to total portfolio risk.In addition,we include a dynamic hedging overlay to provide further protection to the portfolio.
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An empirical study of hedge funds
… vehicles that use leverage, short-selling, dynamic hedging and derivatives to implement investment strategies significantly different from the non-leveraged, long-only approach traditionally followed by investors. This Thesis explores and validates characteristics, attributes and behavior of …
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Surrogate Model Assisted Nested Simulation with Applications to Variable Annuity Portfolio Valuation and Hedging
… and the regulatory capital requirement with dynamic hedging. The efficiency and the robustness of the algorithm are demonstrated through numerical studies on a number of uniform/non-uniform large synthetic VA portfolios and economics models.
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Characterizations of and closed-form solutions for plain vanilla and exotic derivatives
… in the jump size distribution. The model dynamics are supported by a general equilibrium framework. Our main contribution is to derive closed-form solutions for European plain vanilla options. A further extension to displaced gamma tails is possible while retaining full analytical …
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Stochastic Optimization approaches for trading on financial and energy markets
… control (SMPC) approach is proposed for dynamically hedging a portfolio of underlying assets.After formulating the dynamic hedging problem as a stochastic control problem with a least-squares criterion, for plain vanilla and exotic options we test its ability to replicate the payoff at …
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Vine copula modelling of dependence and portfolio optimization with application to mining and energy stock return series from the Australian market
… and their underlying sectors’ dependence risk dynamics. Besides, linear and nonlinear optimization methods threaded with the variance, mean absolute deviation (MAD), minimizing regret (Minimax), conditional Value-at-Risk (CVaR) and conditional Drawdown-at-Risk (CDaR) risk measures are …
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Essays on Financial Markets
… The empirical results indicate some gains from hedging with futures, despite the lack of straightforward arbitrage possibilities in the electricity market. Chapter 4 searches for evidence of chaos and other nonlinearities in Swedish stock return series. Empirical evidence suggests that nonlinear …