Pricing and hedging in incomplete financial markets

A.M. Wurth

Research output: ThesisDoctoral Thesis

290 Downloads (Pure)

Abstract

In the practical part, Chapter 4 considers numerical methods for indifference pricing in a stochastic volatility model. In Chapter 5, a feasible procedure is developed for calculating the CVaR price in unit-linked insurance products under an additional assumption. This assumption is relaxed in Chapter 6.
Original languageEnglish
QualificationDoctor of Philosophy
Awarding Institution
  • Tilburg University
Supervisors/Advisors
  • Schumacher, Hans, Promotor
Award date8 May 2009
Place of PublicationTilburg
Publisher
Print ISBNs9789056682361
Publication statusPublished - 2009

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