1 research outputs found
Teoria de la utilitat esperada, mesures de risc coherents i la seva aplicació a la valoració de derivats
Treballs Finals de Grau de Matemà tiques, Facultat de Matemà tiques, Universitat de Barcelona, Any: 2023, Director: José Manuel Corcuera Valverde[en] The purpose of this undergraduate thesis is to study how people face situations where risk and uncertainty play a role. To do so, we will plunge in the expected utility theory proposed by John von Neumann and Oskar Morgenstern. Then, we are going to discuss how to properly measure risk and why the popular risk measure Value at risk is not a good way to go. Finally, we will introduce the concept of conic finance, a novel way of
modelizing financial markets which takes into account the fact that markets have different prices depending on if you are buying or selling the asset. We will discover the relation between conic models and coherent measures of risk and we will show how to use them to price europeans Puts and Calls in a conic Black-Scholes setting