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In this study, general geometric Levy market models are considered. Since these models are, in general, incomplete, that is, all contingent claims cannot be replicated by a self-financing portfolio consisting of investments in a risk-free bond and in the stock, it is suggested that the market should be enlarged by artificial assets based on the power-jump processes of the underlying Levy process. Then it is shown that the enlarged market is complete and the explicit hedging portfolios for claims whose payoff function depends on the prices of the stock and the artificial assets at maturity are derived. Furthermore, the portfolio optimization problem is considered in the enlarged market. It is shown that for particular choices of the equivalent martingale measure in the market, the optimal portfolio only consists of bonds and stocks. This corresponds to completing the market with additional assets in such a way that they are superfluous in the sense that the terminal expected utility is not improved by including these assets in the portfolio. This book, therefore, should be useful to postgraduates and researchers in mathematical finance.
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M.Sc.: Financial Mathematics, Middle East Technical University; B.Sc.: Mathematics, Middle East Technical University
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- EditoreLAP Lambert Academic Publishing
- Data di pubblicazione2009
- ISBN 10 3838313054
- ISBN 13 9783838313054
- RilegaturaCopertina flessibile
- Numero di pagine72
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An Advanced Levy Market Model
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An Advanced Levy Market Model: Completion, Hedging and Portfolio Optimization
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An Advanced Levy Market Model
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Descrizione libro Taschenbuch. Condizione: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -In this study, general geometric Levy market models are considered. Since these models are, in general, incomplete, that is, all contingent claims cannot be replicated by a self-financing portfolio consisting of investments in a risk-free bond and in the stock, it is suggested that the market should be enlarged by artificial assets based on the power-jump processes of the underlying Levy process. Then it is shown that the enlarged market is complete and the explicit hedging portfolios for claims whose payoff function depends on the prices of the stock and the artificial assets at maturity are derived. Furthermore, the portfolio optimization problem is considered in the enlarged market. It is shown that for particular choices of the equivalent martingale measure in the market, the optimal portfolio only consists of bonds and stocks. This corresponds to completing the market with additional assets in such a way that they are superfluous in the sense that the terminal expected utility is not improved by including these assets in the portfolio. This book, therefore, should be useful to postgraduates and researchers in mathematical finance. 72 pp. Englisch. Codice articolo 9783838313054
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An Advanced Levy Market Model Completion, Hedging and Portfolio Optimization
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Descrizione libro PAP. Condizione: New. New Book. Shipped from UK. THIS BOOK IS PRINTED ON DEMAND. Established seller since 2000. Codice articolo L0-9783838313054
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An Advanced Levy Market Model : Completion, Hedging and Portfolio Optimization
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Descrizione libro Taschenbuch. Condizione: Neu. nach der Bestellung gedruckt Neuware - Printed after ordering - In this study, general geometric Levy market models are considered. Since these models are, in general, incomplete, that is, all contingent claims cannot be replicated by a self-financing portfolio consisting of investments in a risk-free bond and in the stock, it is suggested that the market should be enlarged by artificial assets based on the power-jump processes of the underlying Levy process. Then it is shown that the enlarged market is complete and the explicit hedging portfolios for claims whose payoff function depends on the prices of the stock and the artificial assets at maturity are derived. Furthermore, the portfolio optimization problem is considered in the enlarged market. It is shown that for particular choices of the equivalent martingale measure in the market, the optimal portfolio only consists of bonds and stocks. This corresponds to completing the market with additional assets in such a way that they are superfluous in the sense that the terminal expected utility is not improved by including these assets in the portfolio. This book, therefore, should be useful to postgraduates and researchers in mathematical finance. Codice articolo 9783838313054
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An Advanced Levy Market Model Completion, Hedging and Portfolio Optimization
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Descrizione libro PAP. Condizione: New. New Book. Delivered from our UK warehouse in 4 to 14 business days. THIS BOOK IS PRINTED ON DEMAND. Established seller since 2000. Codice articolo L0-9783838313054
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ISBN 13: 9783838313054
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Descrizione libro Condizione: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Autor/Autorin: Tuerkvatan AysunM.Sc.: Financial Mathematics, Middle East Technical UniversityB.Sc.: Mathematics, Middle East Technical UniversityIn this study, general geometric Levy market models are considered. Since these models are, in gene. Codice articolo 5412000
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