Search results
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Title
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American Options Pricing using HJM Approach
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Author
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Fernando, Wedige
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Date Created
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2017
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Subjects--Topical
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Mathematics
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Description
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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...
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Title
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On lambda-quantile dependent convex risk measures
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Author
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Xia, Lihong
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Date Created
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2011
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Subjects--Topical
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Mathematics, Finance
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Description
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We define a class of convex measures of risk whose values depend on the random variables only up to the lambda-quantiles for some given constant lambda in (0,1). For this class of convex risk measures, the assumption of Fatou property can be stren...
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Title
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Optimal multiple stopping: theory and applications
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Author
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Crosby, Gary
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Date Created
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2017
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Subjects--Topical
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Mathematics
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Description
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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...
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Title
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Risk Minimizing Portfolio Optimization and Hedging with Conditional Value-at-Risk
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Author
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Li, Jing
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Date Created
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2009
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Subjects--Topical
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Mathematics
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Description
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This thesis looks at the problem of finding the optimal investment strategy of a self-financing portfolio in a dynamic complete market setting so that the risk measured by Conditional Value-at-Risk (CVaR) is minimized under the condition that the ...
