21 - 26 of 26 Chapters
[The goal of this paper is to propose an equilibrium model for the joint price formation of allowances issued by regulators in the framework of a cap-and-trade scheme and offset certificates such as CERs generated within the framework of the Clean Development Mechanism (CDM) or the Joint...
[Optimal investment problems in an incomplete financial market with pure jump stock dynamics are studied. An investor with Constant Relative Risk Aversion (CRRA) preferences, including the logarithmic utility, wants to maximize her/his expected utility of terminal wealth by investing in a bond...
[This paper provides a general framework for doubly stochastic term structure models for portfolio of credits, such as collateralized debt obligations (CDOs). We introduce the defaultable (T, x)-bonds, which pay one if the aggregated loss process in the underlying pool of the CDO has not...
[We consider the problem of minimizing the risk of a financial position (hedging) in an incomplete market. It is well known that the industry standard for risk measure, the Value-at-Risk, does not take into account the natural idea that risk should be minimized through diversification. This...
[In exponential semi-martingale setting for risky asset we estimate the difference of prices of options when initial physical measure P and corresponding martingale measure Q change to ̃ P and ̃Q respectively. Then, we estimate PL 1-distance of option prices for corresponding parametric models...
[In the recent years especially in finance many different models either based on semimartingales, purely continuous, pure jump and a mixture of both, or fractional Brownian motion have been proposed in the literature. We provide a class of easily computable estimators which allows to infer the...
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