Titlebook: Inspired by Finance; The Musiela Festschr Yuri Kabanov,Marek Rutkowski,Thaleia Zariphopoulou Book 2014 Springer International Publishing Sw

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染色體

Real Options with Competition and Incomplete Markets,tions models. Strategic interactions and market incompleteness are significant challenges that may render existing classical models inadequate to the task of managing the firm’s capital investments. The purpose of this paper is to address these challenges. The issue of incompleteness comes in for th

Fabric

Dynamic Hedging of Counterparty Exposure, crisis, the counterparty risk and the wrong way risk are crucial issues in connection with valuation and risk management of credit derivatives. In this work we first derive a general model-free equation for the dynamics of the CVA of a portfolio of OTC derivatives. We then particularize these dynam

勤勉

absorbed

,An ,-Divergence Approach for Optimal Portfolios in Exponential Lévy Models,ergence minimal martingale measures and based on a new concept of preservation of the Lévy property by .-divergence minimal martingale measures. For common .-divergences, i.e. functions which such that ., we give the conditions for the existence of corresponding ..- maximizing strategies, as well as

躲債

Three Essays on Exponential Hedging with Variable Exit Times,plicitly parameterizing the exponential forward performances and describing the optimal solution for the corresponding utility maximization problem. The second problem deals with the horizon-unbiased exponential hedging. Precisely, we are interested in describing the dynamic payoffs for which there

CRACY

Lacerate

Yield Curve Smoothing and Residual Variance of Fixed Income Positions, known as a . We assume that volatilities and correlations do not depend on rates (which hence are Gaussian). We prove that a principal component analysis (PCA) can be made. These components are called . or . of the yield curve in this space. We then proceed to provide the best approximation of the

松果

舞蹈編排

,Some Extensions of Norros’ Lemma in Models with Several Defaults,erization of the filtration immersion properties in terms of the terminal values of compensators of the associated default processes. The method of proof is based on the analysis of properties of exponential martingales associated with the default times.