Pricing and hedging in incomplete financial markets

A.M. Wurth

Research output: ThesisDoctoral Thesis

349 Downloads (Pure)


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
  • Schumacher, Hans, Promotor
Award date8 May 2009
Place of PublicationTilburg
Print ISBNs9789056682361
Publication statusPublished - 2009


Dive into the research topics of 'Pricing and hedging in incomplete financial markets'. Together they form a unique fingerprint.

Cite this