Sökning: "Bjarne Astrup Jensen"

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1. 1. Aspects of cash-flow valuation

   Författare :Fredrik Armerin; Boualem Djehiche; Bjarne Astrup Jensen; KTH; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Mathematical statistics; arbitrage; coherent and convex measures of risk; immunization; insurance; martingale methods; Matematisk statistik; Mathematical statistics; Matematisk statistik;

   Sammanfattning : This thesis consists of five papers. In the first two papers we consider a general approach to cash flow valuation, focusing on dynamic properties of the value of a stream of cash flows. The third paper discusses immunization theory, where old results are shown to hold in general deterministic models, but often fail to be true in stochastic models. LÄS MER