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Grasselli, Matheus R (contributor); … - World Scientific Publishing Co. Pte. Ltd.

This outstanding collection of articles includes papers presented at the Fields Institute, Toronto, as part of the Thematic Program in Quantitative Finance that took place in the first six months of the year 2010. The scope of the volume in very broad, including papers on foundational issues in...

Persistent link: https://www.econbiz.de/10011122719

When to Cross the Spread: Curve Following with Singular Control

Naujokat, Felix; Horst, Ulrich - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2011

In this article the problem of curve following in an illiquid market is addressed. Using techniques of singular stochastic control, we extend the results of [NW11] to a twosided limit order market with temporary market impact and resilience, where the bid ask spread is now also controlled. We...

Persistent link: https://www.econbiz.de/10009246595

The Robustness of the CAPM - A Computational Approach

Herings, P.J.J.; Kubler, F. - Tilburg University, Center for Economic Research - 1999

In this paper we argue that in realistically calibrated two period general equilibrium models with incomplete markets CAPM-pricing provides a good benchmark for equilibrium prices even when agents are not mean-variance optimizers and returns are not normally distributed. We numerically...

Persistent link: https://www.econbiz.de/10011092773

Asset pricing and consumption-portfolio choice with recursive utility and unspanned risk

Kraft, Holger; Seiferling, Thomas; Seifried, Frank Thomas - Research Center SAFE (Sustainable Architecture for … - 2014

We study consumption-portfolio and asset pricing frameworks with recursive preferences and unspanned risk. We show that in both cases, portfolio choice and asset pricing, the value function of the investor/representative agent can be characterized by a specific semilinear partial differential...

Persistent link: https://www.econbiz.de/10010955140

Dynamic Mean-Variance Asset Allocation

Basak, Suleyman; Chabakauri, Georgy - C.E.P.R. Discussion Papers - 2009

Mean-variance criteria remain prevalent in multi-period problems, and yet not much is known about their dynamically optimal policies. We provide a fully analytical characterization of the optimal dynamic mean-variance portfolios within a general incomplete-market economy, and recover a simple...

Persistent link: https://www.econbiz.de/10005656376

Utility maximization in incomplete markets with random endowment

(**), Hui Wang; Cvitanic, Jaksa; (*), Walter Schachermayer - In: Finance and Stochastics 5 (2001) 2, pp. 259-272

This paper solves the following problem of mathematical finance: to find a solution to the problem of maximizing utility from terminal wealth of an agent with a random endowment process, in the general, semimartingale model for incomplete markets, and to characterize it via the associated dual...

Persistent link: https://www.econbiz.de/10005759646

Computing Equilibria in Finance Economies

Herings, P.J.J.; Kubler, F. - EconWPA - 2001

Persistent link: https://www.econbiz.de/10005125623

Dynamic Hedging in Incomplete Markets: A Simple Solution

Basak, Suleyman; Chabakauri, Georgy - C.E.P.R. Discussion Papers - 2011

Despite much work on hedging in incomplete markets, the literature still lacks tractable dynamic hedges in plausible environments. In this article, we provide a simple solution to this problem in a general incomplete-market economy in which a hedger, guided by the traditional minimum-variance...

Persistent link: https://www.econbiz.de/10009024486

An Undergraduate Introduction to Financial Mathematics

Buchanan, J Robert - World Scientific Publishing Co. Pte. Ltd.

This textbook provides an introduction to financial mathematics and financial engineering for undergraduate students … who have completed a three- or four-semester sequence of calculus courses. It introduces the theory of interest, discrete … better stand alone as an introduction to financial mathematics. The reader progresses from a solid grounding in multivariable …

Persistent link: https://www.econbiz.de/10011122716

Pricing and hedging of variable annuities with state-dependent fees

Delong, Łukasz - In: Insurance: Mathematics and Economics 58 (2014) C, pp. 24-33

We investigate the problem of pricing and hedging variable annuity contracts for which the fee deducted from the policyholder’s account depends on the account value. It is believed that state-dependent fees are beneficial to policyholders and insurers since they reduce policyholders’...

Persistent link: https://www.econbiz.de/10011046595