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 5 of 5 for “"market price of risk"”.
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Robustness of bond portfolio optimisation
… to bond portfolio selection by proposing the use of term structure models to estimate the time-varying moments of bond returns. Duffee (2002) introduces a distinction between completely affine and essentially affine term structure models. A completely affine model uses a market price of risk …
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Essays in Asset Pricing and Volatility Risk
… and Bad Uncertainty: Macroeconomic and Financial Market Implications'' with Ivan Shaliastovich and Amir Yaron) we decompose aggregate uncertainty into `good' and `bad' volatility components, associated with positive and negative innovations to macroeconomic growth. We document that in line with …
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Pricing of Asian temperature risk
… replicated by other financial instruments. The market price of risk (MPR) is an important parameter of the associated equivalent martingale measures used to price and hedge weather futures/options in the market. The majority of papers so far have priced non-tradable assets assuming zero MPR, but …
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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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Range-based Risk Estimation in Euro Area Countries
This dissertation considers a range of topics on the use of range-based risk estimators for financial markets (with the exception of Chapter 5 discussed below). Chapter 1 provides an introduction to the existing literature and the research objectives of the dissertation. Chapter 2 uses time series …