On Utility-Based Investment, Pricing and Hedging in Incomplete Markets

  title={On Utility-Based Investment, Pricing and Hedging in Incomplete Markets},
  author={Johannes Muhle-Karbe},
This thesis deals with rational investors who maximize their expected utility in incomplete markets. In Part I, we consider models where incompleteness is induced by jumps and stochastic volatility. Using martingale methods we determine optimal investment strategies for power utility in a wide class of different models. Moreover, we show how first-order approximations of utility-based prices and hedging strategies can be computed by solving a quadratic hedging problem under a suitable measure… CONTINUE READING


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