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 14 of 14 for “"incomplete market"”.
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Convergence in incomplete market models
… of pricing and hedging of contingent claims in incomplete markets has lead to the development of various valuation methodologies. This thesis examines the mean-variance and variance-optimal approaches to risk-minimisation and shows that these are robust under the convergence from discrete- to …
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Essays on Endogenously Incomplete Markets
… constitute a study of macroeconomic models with markets that are endogenously incomplete. Chapter 2 provides microfoundations for two types of widely used incomplete market models while chapter 3 studies the role for policy in endogenously incomplete models. Chapter 4 examines the existence of …
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Comparison of semimartingales and Lévy processes with applications to financial mathematics
… non-trivial bounds for European option prices in incomplete market models, to compare martingale measures and to compare path-dependent options.
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Rents, efficiency, and incomplete markets: exploring the inner workings of the emerging market for private land preservation and conservation easements
This economic study explores land market development and identifies contributing sources to incomplete markets (markets that do not operate efficiently or yield consistent price information). I make the case that the market for private land preservation–land that is preserved through the efforts of …
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Utility-based valuation for underwater employee stock options
… employee stock options, which give rise to an incomplete-market setting. We begin with basic concepts and terminology in stock-option pricing. Then, we review the valuation by replication process both in the binomial model and the Black-Scholes model. These two methods apply to valuation in the …
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Essays on Portfolio Optimization, Simulation and Option Pricing
… such as moneyness and maturity times. The incomplete market environments are also been considered. The second paper uses realized volatility based on high frequency data to improve the volatility trading strategy. The performance is compared with that using the implied volatility. The last …
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Derivative pricing and logarithmic portfolio optimization in incomplete markets
… studies the problem of derivative pricing in incomplete markets and the problem of portfolio optimization for logarithmic utility. <br>In an incomplete market the no arbitrage criterion does not suffice to value contingent claims any more. Each equivalent martingale measure yields a possible …
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Essays on political institutions and macroeconomics
… of political economy distortions causes the debt market which is complete to behave as if it were incomplete. In contrast to an incomplete market economy, taxes are positive in the long run. A numerical exercise suggests that the welfare cost of political economy distortions is high if the …
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Deep Hedging of basis risk
… at each time point a function of current market data and previous hedging decisions. Deep Hedging is Greek-free and more easily allows for the incorporation of other market frictions, like transaction costs, compared to existing approaches. Lastly, we can find optimal hedging strategies …
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An Application of Deep Hedging in Pricing and Hedging Caplets on the Prime Lending Rate
… via an exchange, such as the JSE's derivatives markets, or over-the-counter (OTC). This dissertation focuses on the pricing and hedging of caplets written on the South African prime lending rate. In a complete market, caplets can be continuously hedged with zero risk. However, in the particular …
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On two utility maximization problems
… problems is convex duality in a semimartingale market model. Utility maximization under ratchet and drawdown constraints on consumption in incomplete semimartingale markets. We consider the value function associated with this concave optimization problem as having two parameters: the initial …
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Optimal Trading Strategies Under Arbitrage
This thesis analyzes models of financial markets that incorporate the possibility of arbitrage opportunities. The first part demonstrates how explicit formulas for optimal trading strategies in terms of minimal required initial capital can be derived in order to replicate a given terminal wealth in …
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Three essays on asset pricing
… 1 is titled “How Do Oil Shocks Affect Stock Market Risk” and aims to explain some documented comovements between crude oil market and stock market and the predictability of oil prices on stock returns. Firstly, I illustrate a mechanism for oil shocks to translate into stock market risk under …
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RAROC-Based contingent claim valuation
… process is finished, we set up a discrete time incomplete market, and demonstrate how to determine the dynamic RAROC-based good-deal price for a call option. Furthermore, by following Becherer (2009), we derive the dynamics of RAROC-based good-deal prices as solutions for discrete-time backward …