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  • Articles  (2,288)
  • Articles: DFG German National Licenses  (2,288)
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  • Articles  (2,288)
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  • 1
    Electronic Resource
    Electronic Resource
    Introduction to Special Issue on Life Cycle Assessment and Risk Analysis (2002)
    Boston, USA and Oxford, UK : Blackwell Publishers Inc
    Risk analysis 22 (2002), S. 0 
    Details
    ISSN: 1539-6924
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Energy, Environment Protection, Nuclear Power Engineering
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.0272-4332.2002.t01-1-.x
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  • 2
    Electronic Resource
    Electronic Resource
    Self-Financing Trading Strategies for Sliding, Rolling-Horizon, and Consol Bonds (1999)
    Oxford, UK and Boston, USA : Blackwell Publishers Inc
    Mathematical finance 9 (1999), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: The time evolution of a sliding bond is studied in discrete- and continuous-time setups. By definition, a sliding bond represents the price process of a discount bond with a fixed time to maturity. Examples of measure-valued trading strategies (introduced by Bj"ork et al. 1997a, 1997b) which are based on the price process of a sliding bond are discussed. In particular, a self-financing strategy that involves holding at any time one unit of a sliding bond is examined (the wealth process of this strategy is referred to as the rolling-horizon bond). In contrast to the sliding bond, which does not represent a tradable security, the rolling-horizon bond (or the rolling-consol bond) may play the role of a fixed-income security with infinite lifespan in portfolio management problems.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/1467-9965.00074
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  • 3
    Electronic Resource
    Electronic Resource
    Contingent Claims and Market Completeness in a Stochastic Volatility Model (1997)
    Boston, USA and Oxford, UK : Blackwell Publishers Inc
    Mathematical finance 7 (1997), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: In an incomplete market framework, contingent claims are of particular interest since they improve the market efficiency. This paper addresses the problem of market completeness when trading in contingent claims is allowed. We extend recent results by Bajeux and Rochet (1996) in a stochastic volatility model to the case where the asset price and its volatility variations are correlated. We also relate the ability of a given contingent claim to complete the market to the convexity of its price function in the current asset price. This allows us to state our results for general contingent claims by examining the convexity of their “admissible arbitrage prices.”
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/1467-9965.00038
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  • 4
    Electronic Resource
    Electronic Resource
    The Asymptotic Expansion Approach to the Valuation of Interest Rate Contingent Claims (2001)
    Boston, USA and Oxford, UK : Blackwell Publishers Inc
    Mathematical finance 11 (2001), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: We propose a new methodology for the valuation problem of financial contingent claims when the underlying asset prices follow a general class of continuous Itô processes. Our method can be applied to a wide range of valuation problems including complicated contingent claims associated with the term structure of interest rates. We illustrate our method by giving two examples: the valuation problems of swaptions and average (Asian) options for interest rates. Our method gives some explicit formulas for solutions, which are sufficiently numerically accurate for practical purposes in most cases. The continuous stochastic processes for spot interest rates and forward interest rates are not necessarily Markovian nor diffusion processes in the usual sense; nevertheless our approach can be rigorously justified by the Malliavin–Watanabe Calculus in stochastic analysis.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/1467-9965.00110
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  • 5
    Electronic Resource
    Electronic Resource
    A Martingale Characterization of Consumption Choices and Hedging Costs with Margin Requirements[We are gra] (2000)
    Boston, USA and Oxford, UK : Blackwell Publishers Inc
    Mathematical finance 10 (2000), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: This paper examines optimal consumption and investment choices and the cost of hedging contingent claims in the presence of margin requirements or, more generally, of nonlinear wealth dynamics and constraints on the portfolio policies. Existence of optimal policies is established using martingale and duality techniques under general assumptions on the securities' price process and the investor's preferences. As an illustration, explicit solutions are provided for an agent with ‘logarithmic’ utility. A PDE characterization of the cost of hedging a nonnegative path-independent European contingent claim is also provided.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/1467-9965.00099
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  • 6
    Electronic Resource
    Electronic Resource
    Mean-Variance Hedging for Stochastic Volatility Models (2000)
    Boston, USA and Oxford, UK : Blackwell Publishers Inc
    Mathematical finance 10 (2000), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: In this paper we discuss the tractability of stochastic volatility models for pricing and hedging options with the mean-variance hedging approach. We characterize the variance-optimal measure as the solution of an equation between Doléans exponentials; explicit examples include both models where volatility solves a diffusion equation and models where it follows a jump process. We further discuss the closedness of the space of strategies.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/1467-9965.00084
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  • 7
    Electronic Resource
    Electronic Resource
    On Models of Default Risk[The first ] (2000)
    Boston, USA and Oxford, UK : Blackwell Publishers Inc
    Mathematical finance 10 (2000), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: We first discuss some mathematical tools used to compute the intensity of a single jump process, in its canonical filtration. In the second part, we try to clarify the meaning of default and the links between the default time, the asset's filtration, and the intensity of the default time. We finally discuss some examples.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/1467-9965.00088
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  • 8
    Electronic Resource
    Electronic Resource
    Risk-Sensitive Control and an Optimal Investment Model[The first ] (2000)
    Boston, USA and Oxford, UK : Blackwell Publishers Inc
    Mathematical finance 10 (2000), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: We consider an optimal investment model in which the goal is to maximize the long-term growth rate of expected utility of wealth. In the model, the mean returns of the securities are explicitly affected by the underlying economic factors. The utility function is HARA. The problem is reformulated as an infinite time horizon risk-sensitive control problem. We study the dynamic programming equation associated with this control problem and derive some consequences of the investment problem.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/1467-9965.00089
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  • 9
    Electronic Resource
    Electronic Resource
    A Generalized Cameron–Martin Formula with Applications to Partially Observed Dynamic Portfolio Optimization (2001)
    Boston, USA and Oxford, UK : Blackwell Publishers Inc
    Mathematical finance 11 (2001), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: The optimal dynamic allocation problem for a Bayesian investor is addressed when the stock's drift—modeled as a linear mean-reverting diffusion—is not observed directly but only via the measurement process. Adopting a martingale approach, an appropriate generalization of the Cameron–Martin (1945) formula then enables computation of both the optimal dynamic allocation and the value function for a general utility function, in terms of an inverse Laplace transform of an explicit expression. Moreover, closed-form formulas are provided in the case of power utility.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/1467-9965.00125
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  • 10
    Electronic Resource
    Electronic Resource
    Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation[This resea] (2000)
    Boston, USA and Oxford, UK : Blackwell Publishers Inc
    Mathematical finance 10 (2000), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: The mean-variance formulation by Markowitz in the 1950s paved a foundation for modern portfolio selection analysis in a single period. This paper considers an analytical optimal solution to the mean-variance formulation in multiperiod portfolio selection. Specifically, analytical optimal portfolio policy and analytical expression of the mean-variance efficient frontier are derived in this paper for the multiperiod mean-variance formulation. An efficient algorithm is also proposed for finding an optimal portfolio policy to maximize a utility function of the expected value and the variance of the terminal wealth.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/1467-9965.00100
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