Pricing and hedging in incomplete financial markets

A.M. Wurth

Pricing and hedging in incomplete financial markets

A.M. Wurth

Research output: Thesis › Doctoral Thesis

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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 language	English
Qualification	Doctor of Philosophy
Awarding Institution	Tilburg University
Supervisors/Advisors	Schumacher, Hans, Promotor
Award date	8 May 2009
Place of Publication	Tilburg
Publisher	CentER, Center for Economic Research
Print ISBNs	9789056682361
Publication status	Published - 2009

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title = "Pricing and hedging in incomplete financial markets",

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.",

author = "A.M. Wurth",

year = "2009",

language = "English",

isbn = "9789056682361",

series = "CentER Dissertation Series",

publisher = "CentER, Center for Economic Research",

school = "Tilburg University",

}

TY - BOOK

T1 - Pricing and hedging in incomplete financial markets

AU - Wurth, A.M.

PY - 2009

Y1 - 2009

N2 - 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.

AB - 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.

M3 - Doctoral Thesis

SN - 9789056682361

T3 - CentER Dissertation Series

PB - CentER, Center for Economic Research

CY - Tilburg

ER -

Pricing and hedging in incomplete financial markets

Abstract

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