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Sinopsis
In this study, the geometric Additive market models are considered. In general, these market models are incomplete, that means: the perfect replication of derivatives, in the usual sense, is not possible. In this study, it is shown that the market can be completed by new artificial assets which are called ?power-jump assets? based on the power-jump processes of the underlying Additive process. Then, the hedging portfolio for claims whose payoff function depends on the prices of the stock and the power-jump assets at maturity is derived. In addition to the previous completion strategy, it is also shown that, using a static hedging formula, the market can also be completed by considering portfolios with a continuum of call options with different strikes and the same maturity. What is more, the portfolio optimization problem is considered in the enlarged market. The optimization problem consists of choosing an optimal portfolio in such a way that the largest expected utility of the terminal wealth is obtained. For particular choices of the equivalent martingale measure, it is shown that the optimal portfolio consists only of bonds and stocks.
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In this study, the geometric Additive market models are considered. In general, these market models are incomplete, that means: the perfect replication of derivatives, in the usual sense, is not possible. In this study, it is shown that the market can be completed by new artificial assets which are called "power-jump assets" based on the power-jump processes of the underlying Additive process. Then, the hedging portfolio for claims whose payoff function depends on the prices of the stock and the power-jump assets at maturity is derived. In addition to the previous completion strategy, it is also shown that, using a static hedging formula, the market can also be completed by considering portfolios with a continuum of call options with different strikes and the same maturity. What is more, the portfolio optimization problem is considered in the enlarged market. The optimization problem consists of choosing an optimal portfolio in such a way that the largest expected utility of the terminal wealth is obtained. For particular choices of the equivalent martingale measure, it is shown that the optimal portfolio consists only of bonds and stocks.
Biografía del autor
Personal Information: Surname, name: Polat, Onur Date and Place of Birth: 13 October 1983, Tunceli Merital Status: Single Phone: +90 312 537 586 04 e-mail: opolat62@yahoo.com Education M.S.: Financial Mathematics, Iam, February 2009 Metu, Ankara B.S.: Department of Mathemetics, June 2006 Hacettepe Uni., Ankara
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Complication and Optimization in Additive Markets
Publicado por
LAP LAMBERT Academic Publishing Mrz 2010, 2010
ISBN 10: 3838353781
ISBN 13: 9783838353784
Nuevo
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Librería: BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, Alemania
Calificación del vendedor: 5 de 5 estrellas
Taschenbuch. Condición: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -In this study, the geometric Additive market models are considered. In general, these market models are incomplete, that means: the perfect replication of derivatives, in the usual sense, is not possible. In this study, it is shown that the market can be completed by new artificial assets which are called power-jump assets based on the power-jump processes of the underlying Additive process. Then, the hedging portfolio for claims whose payoff function depends on the prices of the stock and the power-jump assets at maturity is derived. In addition to the previous completion strategy, it is also shown that, using a static hedging formula, the market can also be completed by considering portfolios with a continuum of call options with different strikes and the same maturity. What is more, the portfolio optimization problem is considered in the enlarged market. The optimization problem consists of choosing an optimal portfolio in such a way that the largest expected utility of the terminal wealth is obtained. For particular choices of the equivalent martingale measure, it is shown that the optimal portfolio consists only of bonds and stocks. 84 pp. Englisch. Nº de ref. del artículo: 9783838353784
Cantidad disponible: 2 disponibles
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Complication and Optimization in Additive Markets : Dynamic Complex Hedging and Potfolio Optimization in Additive Markets
Publicado por
LAP LAMBERT Academic Publishing, 2010
ISBN 10: 3838353781
ISBN 13: 9783838353784
Nuevo
Taschenbuch
Librería: AHA-BUCH GmbH, Einbeck, Alemania
Calificación del vendedor: 5 de 5 estrellas
Taschenbuch. Condición: Neu. nach der Bestellung gedruckt Neuware - Printed after ordering - In this study, the geometric Additive market models are considered. In general, these market models are incomplete, that means: the perfect replication of derivatives, in the usual sense, is not possible. In this study, it is shown that the market can be completed by new artificial assets which are called power-jump assets based on the power-jump processes of the underlying Additive process. Then, the hedging portfolio for claims whose payoff function depends on the prices of the stock and the power-jump assets at maturity is derived. In addition to the previous completion strategy, it is also shown that, using a static hedging formula, the market can also be completed by considering portfolios with a continuum of call options with different strikes and the same maturity. What is more, the portfolio optimization problem is considered in the enlarged market. The optimization problem consists of choosing an optimal portfolio in such a way that the largest expected utility of the terminal wealth is obtained. For particular choices of the equivalent martingale measure, it is shown that the optimal portfolio consists only of bonds and stocks. Nº de ref. del artículo: 9783838353784
Cantidad disponible: 1 disponibles
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Complication and Optimization in Additive Markets
Publicado por
LAP LAMBERT Academic Publishing Mär 2010, 2010
ISBN 10: 3838353781
ISBN 13: 9783838353784
Nuevo
Taschenbuch
Librería: buchversandmimpf2000, Emtmannsberg, BAYE, Alemania
Calificación del vendedor: 5 de 5 estrellas
Taschenbuch. Condición: Neu. Neuware -In this study, the geometric Additive market models are considered. In general, these market models are incomplete, that means: the perfect replication of derivatives, in the usual sense, is not possible. In this study, it is shown that the market can be completed by new artificial assets which are called ¿power-jump assets¿ based on the power-jump processes of the underlying Additive process. Then, the hedging portfolio for claims whose payoff function depends on the prices of the stock and the power-jump assets at maturity is derived. In addition to the previous completion strategy, it is also shown that, using a static hedging formula, the market can also be completed by considering portfolios with a continuum of call options with different strikes and the same maturity. What is more, the portfolio optimization problem is considered in the enlarged market. The optimization problem consists of choosing an optimal portfolio in such a way that the largest expected utility of the terminal wealth is obtained. For particular choices of the equivalent martingale measure, it is shown that the optimal portfolio consists only of bonds and stocks.Books on Demand GmbH, Überseering 33, 22297 Hamburg 84 pp. Englisch. Nº de ref. del artículo: 9783838353784
Cantidad disponible: 2 disponibles
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Complication and Optimization in Additive Markets: Dynamic Complex Hedging and Potfolio Optimization in Additive Markets
Publicado por
LAP LAMBERT Academic Publishing, 2010
ISBN 10: 3838353781
ISBN 13: 9783838353784
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Librería: Mispah books, Redhill, SURRE, Reino Unido
Calificación del vendedor: 4 de 5 estrellas
Paperback. Condición: Like New. Like New. book. Nº de ref. del artículo: ERICA79038383537816
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