Mean variance hedging in the presence of additionally observed market prices:
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Aachen
Shaker
2003
|
| Series: | Berichte aus der Volkswirtschaft
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Item Description: | Zugl.: Bonn, Univ., Diss., 2003 |
| Physical Description: | II, 131 S. graph. Darst. |
| ISBN: | 3832218939 |
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Record in the Search Index
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| adam_text | MEAN-VARIANCE HEDGING IN THE PRESENCE OF ADDITIONALLY OBSERVED MARKET
PRICES INAUGURAL-DISSERTATION ZUR ERLANGUNG DES GRADES EINES DOKTORS DER
WIRTSCHAFTS- UND GESELLSCHAFTSWISSENSCHAFTEN DURCH DIE RECHTS- UND
STAATSWISSENSCHAFTLICHE FAKULTAT DER RHEINISCHEN
FRIEDRICH-WILHELMS-UNIVERSITAT BONN VORGELEGT VON FRANK THIERBACH AUS
KOLN BONN 2003 A 237649 CONTENTS 0 INTRODUCTION 1 1 VALUATION AND
HEDGING ON FINANCIAL MARKETS 5 1.1 HEDGING APPROACH 5 1.2 MARTINGALE
APPROACH 7 1.3 APPROACHES TO PRICING AND HEDGING IN INCOMPLETE FINANCIAL
MARKETS 12 2 THE MEAN- VARIANCE HEDGING APPROACH 15 2.1 CONCEPT 15 2.2
SOLUTION OF THE MEAN-VARIANCE HEDGING PROBLEM 17 2.2.1 SIMPLE CASE:
SUBJECTIVE MEASURE IS A MARTINGALE MEASURE 18 2.2.2 GENERAL CASE 19
2.2.2.1 THE HEDGING NUMERAIRE 19 2.2.2.2 THE VARIANCE-OPTIMAL MARTINGALE
MEASURE 21 2.2.2.3 THE ARTIFICIALLY EXTENDED ASSETS FAMILY 22 2.2.2.4
TRANSFORMATION TO A REDUCED PROBLEM 23 2.2.2.5 BACK TRANSFORMATION TO
THE ORIGINAL PROBLEM 25 2.3 ORTHOGONAL DECOMPOSITION 25 CONTENTS 3
FINANCIAL VALUATION AND HEDGING IN THE PRESENCE OF ADDITIONALLY OBSERVED
MARKET PRICES 29 3.1 INTRODUCTION OF BASIC ASSUMPTION 30 3.2
IMPLICATIONS 32 4 MEAN-VARIANCE HEDGING IN THE PRESENCE OF ADDITIONALLY
OBSERVED MARKET PRICES 41 4.1 AD HOC APPROACH 41 4.2 CONSISTENT
MEAN-VARIANCE HEDGING APPROACH 42 4.3 SOLUTION OF THE CONSISTENT
MEAN-VARIANCE HEDGING PROBLEM 45 4.4 CONSISTENT VARIANCE-OPTIMAL
MARTINGALE MEASURE 50 4.5 CONSISTENT ORTHOGONAL DECOMPOSITION 62 4.6
EXAMPLES 63 4.6.1 RESTRICTED FINANCIAL MARKET 63 4.6.2 SIMPLE STOCHASTIC
VOLATILITY MODEL 64 5 INDIFFERENCE PRICING OF COMBINED FINANCIAL AND
INSURANCE CONTRACTS 71 5.1 MOTIVATION 71 5.2 EXAMPLE: SINGLE TRIGGER
COVERAGE (PART I) 72 5.3 CLASSICAL VALUATION OF INSURANCE CONTRACTS 74
5.4 COMBINING FINANCIAL AND INSURANCE VALUATION PRINCIPLES 76 5.5
INDIFFERENCE PRINCIPLE SUBJECT TO ADDITIONALLY OBSERVED MARKET PRICES 77
5.5.1 THE CONSISTENT FINANCIAL VARIANCE PRINCIPLE 82 5.5.2 THE
CONSISTENT FINANCIAL STANDARD DEVIATION PRINCIPLE 89 6 SEMI-COMPLETE
PRODUCT MODEL 97 6.1 SET-UP 97 6.2 EXAMPLE: SINGLE TRIGGER COVERAGE
(PART II) 100 6.2.1 CONSISTENT FINANCIAL VARIANCE PRINCIPLE 102 6.2.2
CONSISTENT FINANCIAL STANDARD DEVIATION PRINCIPLE 103 6.3 ADDITIONALLY
OBSERVED MARKET PRICES OF DIGITAL OPTIONS 104 II CONTENTS 6.4
CONVERGENCE ANALYSIS 113 APPENDIX A MATRIX INVERSION BY THE METHOD OF
MODIFICATION 119 B TWO AUXILIARY LEMMAS 121 BIBLIOGRAPHY 125
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| genre_facet | Hochschulschrift |
| id | DE-604.BV017474355 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T19:18:27Z |
| institution | BVB |
| isbn | 3832218939 |
| language | English |
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| owner_facet | DE-384 DE-20 |
| physical | II, 131 S. graph. Darst. |
| publishDate | 2003 |
| publishDateSearch | 2003 |
| publishDateSort | 2003 |
| publisher | Shaker |
| record_format | marc |
| series2 | Berichte aus der Volkswirtschaft |
| spelling | Thierbach, Frank 1972- Verfasser (DE-588)125007086 aut Mean variance hedging in the presence of additionally observed market prices Frank Thierbach Mean-variance hedging in the presence of additionally observed market prices Aachen Shaker 2003 II, 131 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Berichte aus der Volkswirtschaft Zugl.: Bonn, Univ., Diss., 2003 Optionspreistheorie (DE-588)4135346-8 gnd rswk-swf Unvollkommener Kapitalmarkt (DE-588)4124366-3 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Unvollkommener Kapitalmarkt (DE-588)4124366-3 s Optionspreistheorie (DE-588)4135346-8 s DE-604 GBV Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010527019&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Thierbach, Frank 1972- Mean variance hedging in the presence of additionally observed market prices Optionspreistheorie (DE-588)4135346-8 gnd Unvollkommener Kapitalmarkt (DE-588)4124366-3 gnd |
| subject_GND | (DE-588)4135346-8 (DE-588)4124366-3 (DE-588)4113937-9 |
| title | Mean variance hedging in the presence of additionally observed market prices |
| title_alt | Mean-variance hedging in the presence of additionally observed market prices |
| title_auth | Mean variance hedging in the presence of additionally observed market prices |
| title_exact_search | Mean variance hedging in the presence of additionally observed market prices |
| title_full | Mean variance hedging in the presence of additionally observed market prices Frank Thierbach |
| title_fullStr | Mean variance hedging in the presence of additionally observed market prices Frank Thierbach |
| title_full_unstemmed | Mean variance hedging in the presence of additionally observed market prices Frank Thierbach |
| title_short | Mean variance hedging in the presence of additionally observed market prices |
| title_sort | mean variance hedging in the presence of additionally observed market prices |
| topic | Optionspreistheorie (DE-588)4135346-8 gnd Unvollkommener Kapitalmarkt (DE-588)4124366-3 gnd |
| topic_facet | Optionspreistheorie Unvollkommener Kapitalmarkt Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010527019&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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