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Title

American Options Pricing using HJM Approach

Author

Fernando, Wedige

Date Created

2017

SubjectsTopical

Mathematics

Description

With the development of financial markets and increasing demand for managing risk exposure, researchers and practitioners have developed various financial instruments over the years. Options, Futures, Forwards, Swaps are few examples of such instr...


Title

On lambdaquantile dependent convex risk measures

Author

Xia, Lihong

Date Created

2011

SubjectsTopical

Mathematics, Finance

Description

We define a class of convex measures of risk whose values depend on the random variables only up to the lambdaquantiles for some given constant lambda in (0,1). For this class of convex risk measures, the assumption of Fatou property can be stren...


Title

Optimal multiple stopping: theory and applications

Author

Crosby, Gary

Date Created

2017

SubjectsTopical

Mathematics

Description

The classical secretary problem was an optimal selection thought experiment for a decision process where candidates with independent and identically distributed values to the observer appear in a random order and the observer must attempt to choos...


Title

Risk Minimizing Portfolio Optimization and Hedging with Conditional ValueatRisk

Author

Li, Jing

Date Created

2009

SubjectsTopical

Mathematics

Description

This thesis looks at the problem of finding the optimal investment strategy of a selffinancing portfolio in a dynamic complete market setting so that the risk measured by Conditional ValueatRisk (CVaR) is minimized under the condition that the ...