Three essays on valuation and investment in incomplete markets

Three essays on valuation and investment in incomplete markets

Incomplete markets provide many challenges for both investment decisions and valuation problems. While both problems have received extensive attention in complete markets, there remain many open areas in the theory of incomplete markets. We present the results in three parts. In the first essay we c...

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Bibliographic Details
Main Author: Ringer, Nathanael David
Format: Others
Language:English
Published: 2011
Subjects:
Credit default
Indifference pricing
Infinite-dimensional stochastic processes
Malliavin calculus
Numeraire
Utility maximization
Incomplete markets
Credit derivatives
Collateralized debt obligations
Optimal investment
Pricing
Online Access:http://hdl.handle.net/2152/ETD-UT-2011-05-2816

Internet

http://hdl.handle.net/2152/ETD-UT-2011-05-2816

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