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Neutral and indifference portfolio pricing, hedging and investing : with applications in equity and FX

Stojanovic, Srdjan - 2011

1. Background material -- 2. Simple economics: complete and incomplete markets -- 3. Investment portfolio optimization -- 4. Pricing: neutral and indifferences -- 5. Hedging -- 6. Equity valuation and investing: continuous-time accounting -- 7. FX rates and FX derivatives

Persistent link: https://ebvufind01.dmz1.zbw.eu/10009315225

Facelifting in utility maximization

Larsen, Kasper; Soner, Halil Mete; Žitković, Gordan - 2014

We establish the existence and characterization of a primal and a dual facelift - discontinuity of the value function at the terminal time - for utility maximization in incomplete semimartingale-driven financial markets. Unlike in the lower- and upper-hedging problems, and somewhat unexpectedly,...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010442910

Indifference fee rate for variable annuities

Chevalier, Etienne; Lim, Thomas; Romero, Ricardo Romo - In: Applied mathematical finance 23 (2016) 3/4, pp. 278-308

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011704242

Facelifting in utility maximization

Larsen, Kasper; Soner, Halil Mete; Žitković, Gordan - In: Finance and stochastics 20 (2016) 1, pp. 99-121

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011460007

A new characterization of equilibrium in a multi-period finance economy : a computational viewpoint

Won, Dongchul - In: Computational economics 53 (2019) 1, pp. 367-396

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012134686

Neural networks and ARMA-GARCH models for foreign exchange risk measurement and assessment

Nsengiyumva, Elysee; Mung'atu, Joseph K.; Kayijuka, Idrissa - In: Cogent economics & finance 12 (2024) 1, pp. 1-15

risks. This study aimed to measure and assess foreign exchange risk utilizing Neural Networks and ARMA-GARCH models. Data on … GBP. This research explores advanced methods for measuring and assessing foreign exchange risk using Neural Networks … for financial institutions, investors, and policymakers, equipping them with robust tools for risk management in currency …

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015193557