Sökning: "hedging"
Visar resultat 1 - 5 av 44 avhandlingar innehållade ordet hedging.
1. Calibration and Hedging in Finance
Sammanfattning : This thesis treats aspects of two fundamental problems in applied financial mathematics: calibration of a given stochastic process to observed marketprices on financial instruments (which is the topic of the first paper) and strategies for hedging options in financial markets that are possibly incomplete (which is the topic of the second paper).Calibration in finance means choosing the parameters in a stochastic process so as to make the prices on financial instruments generated by the process replicate observed market prices. LÄS MER
2. Robust Energy Systems. Strategies for CO2 Emission Control
Sammanfattning : This dissertation deals with strategies to handle uncertainty about restrictions in CO2 emissions. A method has been developed for treating sequential decisions in energy planning. The method is an extension of the conventional scenario analysis, and is based on the evaluation of decision trees. LÄS MER
3. Asymptotic Analysis of Hedging Errors Induced by Discrete Time Hedging
Sammanfattning : The first part of this thesis deals with approximations of stochastic integrals and discrete time hedging of derivative contracts; two closely related subjects. Paper A considers the problem of approximating the value of a Wiener process. LÄS MER
4. Essays on Risks in Investment Strategies
Sammanfattning : This dissertation contains three articles, which investigate different types of risks investors encounter during the investment process.Article I investigates the relation between macroeconomic risk and higher-moment moment risk premia. LÄS MER
5. Essays on Corporate Risk Management
Sammanfattning : Companies spend a lot of attention and resources on something commonly referred to as ‘risk management’. Despite its apparent importance and intuitive appeal, corporate risk management is fraught with many difficulties, both on the conceptual and practical level. LÄS MER