Optimal Martingale measures and hedging in models driven by Levy processes
Our research falls into a broad area of pricing and hedging of contingent claims in incomplete markets. In the rst part we introduce the L evy processes as a suitable class of processes for nancial modelling purposes. This in turn causes the market to become incomplete in general and therefore the m...
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Heriot-Watt University
2011
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.575259 |