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  • Articles  (98,790)
  • 2005-2009  (79,345)
  • 1965-1969  (19,445)
  • Mathematics  (98,790)
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  • Books  (143)
  • Articles  (98,790)
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  • 1
    Electronic Resource
    Electronic Resource
    ON UTILITY-BASED PRICING OF CONTINGENT CLAIMS IN INCOMPLETE MARKETS (2005)
    350 Main Street , Malden , MA 02148 , USA , and 9600 Garsington Road , Oxford OX4 2DQ , UK . : Blackwell Publishing, Inc.
    Mathematical finance 15 (2005), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: We study the uniqueness of the marginal utility-based price of contingent claims in a semimartingale model of an incomplete financial market. In particular, we obtain that a necessary and sufficient condition for all bounded contingent claims to admit a unique marginal utility-based price is that the solution to the dual problem defines an equivalent local martingale measure.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.0960-1627.2005.00217.x
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  • 2
    Electronic Resource
    Electronic Resource
    OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMÉR-LUNDBERG MODEL (2005)
    350 Main Street , Malden , MA 02148 , USA , and 9600 Garsington Road , Oxford OX4 2DQ , UK . : Blackwell Publishing, Inc.
    Mathematical finance 15 (2005), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: We consider that the reserve of an insurance company follows a Cramér-Lundberg process. The management has the possibility of controlling the risk by means of reinsurance. Our aim is to find a dynamic choice of both the reinsurance policy and the dividend distribution strategy that maximizes the cumulative expected discounted dividend payouts. We study the usual cases of excess-of-loss and proportional reinsurance as well as the family of all possible reinsurance contracts. We characterize the optimal value function as the smallest viscosity solution of the associated Hamilton-Jacobi-Bellman equation and we prove that there exists an optimal band strategy. We also describe the optimal value function for small initial reserves.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.0960-1627.2005.00220.x
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  • 3
    Electronic Resource
    Electronic Resource
    A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS (2005)
    350 Main Street , Malden , MA 02148 , USA , and 9600 Garsington Road , Oxford OX4 2DQ , UK . : Blackwell Publishing, Inc.
    Mathematical finance 15 (2005), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: We present here the quantization method which is well-adapted for the pricing and hedging of American options on a basket of assets. Its purpose is to compute a large number of conditional expectations by projection of the diffusion on optimal grids designed to minimize the (square mean) projection error (Graf and Luschgy 2000). An algorithm to compute such grids is described. We provide results concerning the orders of the approximation with respect to the regularity of the payoff function and the global size of the grids. Numerical tests are performed in dimensions 2, 4, 5, 6, 10 with American style exchange options. They show that theoretical orders are probably pessimistic.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.0960-1627.2005.00213.x
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  • 4
    Electronic Resource
    Electronic Resource
    A REPRESENTATION RESULT FOR CONCAVE SCHUR CONCAVE FUNCTIONS (2005)
    350 Main Street , Malden , MA 02148 , USA , and 9600 Garsington Road , Oxford OX4 2DQ , UK . : Blackwell Publishing, Inc.
    Mathematical finance 15 (2005), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: A representation result is provided for concave Schur concave functions on L∞(Ω). In particular, it is proven that any monotone concave Schur concave weakly upper semicontinuous function is the infinimum of a family of nonnegative affine combinations of Choquet integrals with respect to a convex continuous distortion of the underlying probability. The method of proof is based on the concave Fenchel transform and on Hardy and Littlewood's inequality. Under the assumption that the probability space is nonatomic, concave, weakly upper semicontinuous, law-invariant functions are shown to coincide with weakly upper semicontinuous concave Schur concave functions. A representation result is, thus, obtained for weakly upper semicontinuous concave law-invariant functions.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.2005.00253.x
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  • 5
    Electronic Resource
    Electronic Resource
    Mathematical Finance
Cumulative Index, Volume 15 (2005)
    350 Main Street , Malden , MA 02148 , USA , and 9600 Garsington Road , Oxford OX4 2DQ , UK . : Blackwell Publishing, Inc.
    Mathematical finance 15 (2005), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.2005.15_04_01.x
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  • 6
    Electronic Resource
    Electronic Resource
    PSEUDODIFFUSIONS AND QUADRATIC TERM STRUCTURE MODELS (2005)
    350 Main Street , Malden , MA 02148 , USA , and 9600 Garsington Road , Oxford OX4 2DQ , UK . : Blackwell Publishing, Inc.
    Mathematical finance 15 (2005), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: The non-Gaussianity of processes observed in financial markets and the relatively good performance of Gaussian models can be reconciled by replacing the Brownian motion with Lévy processes whose Lévy densities decay as exp(−λ|x|) or faster, where λ 〉 0 is large. This leads to asymptotic pricing models. The leading term, P0, is the price in the Gaussian model with the same instantaneous drift and variance. The first correction term depends on the instantaneous moments of order up to 3, that is, the skewness is taken into account, the next term depends on moments of order 4 (kurtosis) as well, etc. In empirical studies, the asymptotic formula can be applied without explicit specification of the underlying process: it suffices to assume that the instantaneous moments of order greater than 2 are small w.r.t. moments of order 1 and 2, and use empirical data on moments of order up to 3 or 4. As an application, the bond-pricing problem in the non-Gaussian quadratic term structure model is solved. For pricing of options near expiry, a different set of asymptotic formulas is developed; they require more detailed specification of the process, especially of its jump part. The leading terms of these formulas depend on the jump part of the process only, so that they can be used in empirical studies to identify the jump characteristics of the process.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.2005.00226.x
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  • 7
    Electronic Resource
    Electronic Resource
    MEAN–VARIANCE PORTFOLIO CHOICE: QUADRATIC PARTIAL HEDGING (2005)
    350 Main Street , Malden , MA 02148 , USA , and 9600 Garsington Road , Oxford OX4 2DQ , UK . : Blackwell Publishing, Inc.
    Mathematical finance 15 (2005), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: In this paper we investigate the problem of mean–variance portfolio choice with bankruptcy prohibition. For incomplete markets with continuous assets' price processes and for complete markets, it is shown that the mean–variance efficient portfolios can be expressed as the optimal strategies of partial hedging for quadratic loss function. Thus, mean–variance portfolio choice, in these cases, can be viewed as expected utility maximization with non-negative marginal utility.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.2005.00231.x
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  • 8
    Electronic Resource
    Electronic Resource
    A NEW METHOD OF PRICING LOOKBACK OPTIONS (2005)
    350 Main Street , Malden , MA 02148 , USA , and 9600 Garsington Road , Oxford OX4 2DQ , UK . : Blackwell Publishing, Inc.
    Mathematical finance 15 (2005), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: A new method for pricing lookback options (a.k.a. hindsight options) is presented, which simplifies the derivation of analytical formulas for this class of exotics in the Black-Scholes framework. Underlying the method is the observation that a lookback option can be considered as an integrated form of a related barrier option. The integrations with respect to the barrier price are evaluated at the expiry date to derive the payoff of an equivalent portfolio of European-type binary options. The arbitrage-free price of the lookback option can then be evaluated by static replication as the present value of this portfolio. We illustrate the method by deriving expressions for generic, standard floating-, fixed-, and reverse-strike lookbacks, and then show how the method can be used to price the more complex partial-price and partial-time lookback options. The method is in principle applicable to frameworks with alternative asset-price dynamics to the Black-Scholes world.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.0960-1627.2005.00219.x
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  • 9
    Electronic Resource
    Electronic Resource
    CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION (2005)
    350 Main Street , Malden , MA 02148 , USA , and 9600 Garsington Road , Oxford OX4 2DQ , UK . : Blackwell Publishing, Inc.
    Mathematical finance 15 (2005), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: A continuous-time mean-variance portfolio selection problem is studied where all the market coefficients are random and the wealth process under any admissible trading strategy is not allowed to be below zero at any time. The trading strategy under consideration is defined in terms of the dollar amounts, rather than the proportions of wealth, allocated in individual stocks. The problem is completely solved using a decomposition approach. Specifically, a (constrained) variance minimizing problem is formulated and its feasibility is characterized. Then, after a system of equations for two Lagrange multipliers is solved, variance minimizing portfolios are derived as the replicating portfolios of some contingent claims, and the variance minimizing frontier is obtained. Finally, the efficient frontier is identified as an appropriate portion of the variance minimizing frontier after the monotonicity of the minimum variance on the expected terminal wealth over this portion is proved and all the efficient portfolios are found. In the special case where the market coefficients are deterministic, efficient portfolios are explicitly expressed as feedback of the current wealth, and the efficient frontier is represented by parameterized equations. Our results indicate that the efficient policy for a mean-variance investor is simply to purchase a European put option that is chosen, according to his or her risk preferences, from a particular class of options.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.0960-1627.2005.00218.x
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  • 10
    Electronic Resource
    Electronic Resource
    ON THE ERROR IN THE MONTE CARLO PRICING OF SOME FAMILIAR EUROPEAN PATH-DEPENDENT OPTIONS (2005)
    350 Main Street , Malden , MA 02148 , USA , and 9600 Garsington Road , Oxford OX4 2DQ , UK . : Blackwell Publishing, Inc.
    Mathematical finance 15 (2005), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: This paper studies the relative error in the crude Monte Carlo pricing of some familiar European path-dependent multiasset options. For the crude Monte Carlo method it is well known that the convergence rate O(n−1/2), where n is the number of simulations, is independent of the dimension of the integral. This paper also shows that for a large class of pricing problems in the multiasset Black-Scholes market the constant in O(n−1/2) is independent of the dimension. To be more specific, the constant is only dependent on the highest volatility among the underlying assets, time to maturity, and degree of confidence interval.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.0960-1627.2005.00222.x
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