FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W2157284927> ?p ?o ?g. }

• W2157284927 abstract "In this thesis, we study the problems of risk measurement, valuation and hedging of financial positions in incomplete markets when an insufficient number of assets are available for investment (real options). We work closely with three measures of risk: Worst-Case Scenario (WCS) (the supremum of expected values over a set of given probability measures), Value-at-Risk (VaR) and Average Value-at-Risk (AVaR), and analyse the problem of hedging derivative securities depending on a non-traded asset, defined in terms of the risk measures via their acceptance sets. The hedging problem associated to VaR is the problem of minimising the expected shortfall. For WCS, the hedging problem turns out to be a robust version of minimising the expected shortfall; and as AVaR can be seen as a particular case of WCS, its hedging problem is also related to the minimisation of expected shortfall. Under some sufficient conditions, we solve explicitly the minimal expected shortfall problem in a discrete-time setting of two assets driven by correlated binomial models. In the continuous-time case, we analyse the problem of measuring risk by WCS, VaR and AVaR on positions modelled as Markov diffusion processes and develop some results on transformations of Markov processes to apply to the risk measurement of derivative securities. In all cases, we characterise the risk of a position as the solution of a partial differential equation of second order with boundary conditions. In relation to the valuation and hedging of derivative securities, and in the search for explicit solutions, we analyse a variant of the robust version of the expected shortfall hedging problem. Instead of taking the loss function $l(x) = [x]^+$ we work with the strictly increasing, strictly convex function $L_{epsilon}(x) = epsilon log left( frac{1+exp{−x/epsilon} }{ exp{−x/epsilon} } right)$. Clearly $lim_{epsilon rightarrow 0} L_{epsilon}(x) = l(x)$. The reformulation to the problem for L_{epsilon}(x) also allow us to use directly the dual theory under robust preferences recently developed in [82]. Due to the fact that the function $L_{epsilon}(x)$ is not separable in its variables, we are not able to solve explicitly, but instead, we use a power series approximation in the dual variables. It turns out that the approximated solution corresponds to the robust version of a utility maximisation problem with exponential preferences $(U(x) = −frac{1}{gamma}e^{-gamma x})$ for a preferenes parameter $gamma = 1/epsilon$. For the approximated problem, we analyse the cases with and without random endowment, and obtain an expression for the utility indifference bid price of a derivative security which depends only on the non-traded asset." @default.
• W2157284927 created "2016-06-24" @default.
• W2157284927 creator A5039960465 @default.
• W2157284927 date "2006-01-01" @default.
• W2157284927 modified "2023-09-27" @default.
• W2157284927 title "Mathematical methods for valuation and risk assessment of investment projects and real options" @default.
• W2157284927 cites W1106997938 @default.
• W2157284927 cites W1482759850 @default.
• W2157284927 cites W1488963463 @default.
• W2157284927 cites W1544382008 @default.
• W2157284927 cites W1545370368 @default.
• W2157284927 cites W1553648478 @default.
• W2157284927 cites W1567262822 @default.
• W2157284927 cites W1599241267 @default.
• W2157284927 cites W1599457284 @default.
• W2157284927 cites W1647779468 @default.
• W2157284927 cites W1907876511 @default.
• W2157284927 cites W1964226766 @default.
• W2157284927 cites W1969897341 @default.
• W2157284927 cites W1971845365 @default.
• W2157284927 cites W1972459237 @default.
• W2157284927 cites W1973946491 @default.
• W2157284927 cites W1974484418 @default.
• W2157284927 cites W1979627408 @default.
• W2157284927 cites W1984328418 @default.
• W2157284927 cites W1990909099 @default.
• W2157284927 cites W1997177995 @default.
• W2157284927 cites W1999087529 @default.
• W2157284927 cites W1999282148 @default.
• W2157284927 cites W2007132958 @default.
• W2157284927 cites W2007171489 @default.
• W2157284927 cites W2009841254 @default.
• W2157284927 cites W2011609882 @default.
• W2157284927 cites W201408140 @default.
• W2157284927 cites W2019291268 @default.
• W2157284927 cites W2029102758 @default.
• W2157284927 cites W2029629802 @default.
• W2157284927 cites W2039511516 @default.
• W2157284927 cites W2044127402 @default.
• W2157284927 cites W2044381497 @default.
• W2157284927 cites W2046396733 @default.
• W2157284927 cites W2053518223 @default.
• W2157284927 cites W2060622579 @default.
• W2157284927 cites W2071606512 @default.
• W2157284927 cites W2072810788 @default.
• W2157284927 cites W2079776305 @default.
• W2157284927 cites W2081877251 @default.
• W2157284927 cites W2086026303 @default.
• W2157284927 cites W2093115910 @default.
• W2157284927 cites W2096593443 @default.
• W2157284927 cites W2097415784 @default.
• W2157284927 cites W2097820864 @default.
• W2157284927 cites W2105224148 @default.
• W2157284927 cites W2108312960 @default.
• W2157284927 cites W2109544141 @default.
• W2157284927 cites W2118821424 @default.
• W2157284927 cites W2131009816 @default.
• W2157284927 cites W2132527237 @default.
• W2157284927 cites W2146363996 @default.
• W2157284927 cites W2147299926 @default.
• W2157284927 cites W2148244260 @default.
• W2157284927 cites W2153969568 @default.
• W2157284927 cites W2170206178 @default.
• W2157284927 cites W2170316986 @default.
• W2157284927 cites W2232143283 @default.
• W2157284927 cites W2308869306 @default.
• W2157284927 cites W2465828773 @default.
• W2157284927 cites W2489238003 @default.
• W2157284927 cites W2490285775 @default.
• W2157284927 cites W2493805540 @default.
• W2157284927 cites W2497607697 @default.
• W2157284927 cites W2965687321 @default.
• W2157284927 cites W3122224383 @default.
• W2157284927 cites W3122839946 @default.
• W2157284927 cites W3123942473 @default.
• W2157284927 cites W3124407081 @default.
• W2157284927 cites W339158791 @default.
• W2157284927 cites W403266949 @default.
• W2157284927 cites W95676666 @default.
• W2157284927 hasPublicationYear "2006" @default.
• W2157284927 type Work @default.
• W2157284927 sameAs 2157284927 @default.
• W2157284927 citedByCount "0" @default.
• W2157284927 crossrefType "dissertation" @default.
• W2157284927 hasAuthorship W2157284927A5039960465 @default.
• W2157284927 hasConcept C10138342 @default.
• W2157284927 hasConcept C105795698 @default.
• W2157284927 hasConcept C106159729 @default.
• W2157284927 hasConcept C111771559 @default.
• W2157284927 hasConcept C141042865 @default.
• W2157284927 hasConcept C149782125 @default.
• W2157284927 hasConcept C162118730 @default.
• W2157284927 hasConcept C162324750 @default.
• W2157284927 hasConcept C186027771 @default.
• W2157284927 hasConcept C32896092 @default.
• W2157284927 hasConcept C33923547 @default.
• W2157284927 hasConcept C5496284 @default.
• W2157284927 hasConceptScore W2157284927C10138342 @default.
• W2157284927 hasConceptScore W2157284927C105795698 @default.
• W2157284927 hasConceptScore W2157284927C106159729 @default.

• next