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.

Wurth, A.M.

English

Research Papers in Economics

Characterization of optimal dual measures via distortion.

Conditional Value at Risk for general loss distributions.

Contingent claims and market completeness in a stochastic volatility model.

Convex Analysis.

Dynamic minimization of worst conditional expectation of shortfall.

Eﬃcient option pricing with transaction costs.

Maximal monotone relations and the second derivatives of nonsmooth functions.

Non-parametric tests of alternative option pricing models using all reported trades and quotes.

On valuation and risk management at the interface of insurance and ﬁnance.

Optimal investment in incomplete markets when wealth may become negative.

Option hedging for semimartingales. Stochastic Processes and their

Option Pricing: Mathematical Models and Computation. Oxford Financial Press,

Probability with Martingales.

Risk aversion in the small and in the large.

Risk measure pricing and hedging in incomplete markets.

Risk-minimizing hedging strategies for insurance payment processes.

Stochastic Integration and Diﬀerential Equations.

The dual theory of choice under risk.

Tools for Computational Finance.

Valuation of exotic options under shortselling constraints.

Pricing and Hedging in Incomplete Financial Markets.

Pricing and Hedging in Incomplete Financial Markets.

Abstract

Similar works

Full text

Available Versions

Research Papers in Economics