Global ETD Search
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Showing 1 to 4 of 4 for “"mean-variance hedging"”.
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Mean-variance hedging in an illiquid market
… written on the illiquid asset, we find a hedging strategy consisting of a constant (time 0) holding in the illiquid asset and dynamic trading strategies in the liquid asset and a riskless bank account that minimizes the expected square replication error at maturity. This mean-variance …
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Malliavin Calculus in the Canonical Levy Process: White Noise Theory and Financial Applications.
… from the Clark-Ocone theorem was used for the mean-variance hedging problem and applied it to stochastic volatility models such as the Barndorff-Nielsen and Shepard model model and the Bates model. A Donsker Delta approach is employed on a Binary option to solve the mean-variance hedging …
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Deep hedging in incomplete markets
… analysis of the neural network approximation of mean-variance hedging with a comparison between the current neural network approaches and the theoretical solutions. These theoretical solutions provide a simulation-based performance benchmark for this comparison. Furthermore, this dissertation …
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Convergence in incomplete market models
The problem 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 …