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

@inproceedings{MuhleKarbe2009OnUI,
  title={On Utility-Based Investment, Pricing and Hedging in Incomplete Markets},
  author={Johannes Muhle-Karbe},
  year={2009}
}
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

References

Publications referenced by this paper.
Showing 1-10 of 165 references

A didactic note on affine stochastic volatility models

J. Kallsen
Y. Kabanov, R. Liptser, & J. Stoyanov (Eds.), From Stochastic Calculus to Mathematical Finance (pp. 343–368). Berlin: Springer. • 2006
View 20 Excerpts
Highly Influenced

Financial Modelling with Jump Processes

R. Cont, P. Tankov
2004
View 8 Excerpts
Highly Influenced

Hedging in Affine Stochastic Volatility Models

R. Vierthauer
Dissertation Christian-Albrechts-Universität zu Kiel. Forthcoming. • 2009
View 20 Excerpts
Highly Influenced

Varianz-optimales Hedging in affinen Volatilitätsmodellen

A. Pauwels
Dissertation Technische Universität München. • 2007
View 10 Excerpts
Highly Influenced

Market price of risk specifications for affine models : Theory and evidence

Patrick Cheriditoa, Damir Filipovićb, Robert L. Kimmelc
2006
View 11 Excerpts
Highly Influenced

Similar Papers

Loading similar papers…