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Dissertation writing help - Multi-Asset Utility-Based Pricing and Hedging of Derivatives on Non-Traded Assets
Custom Dissertation Writing Service on single-asset basis risk model
In this report, the single-asset basis risk model is extended to a multi-asset version where multiple traded assets are used to price and hedge a derivative on a non-traded asset. This was done for the exponential utility function both in the case where the agent is assumed to have knowledge of the asset price drifts (the full information setting) and the case where the agent is assumed to be uncertain about the values of these drifts (the partial information setting). Through altering approach, the partial information model was converted to an effective full information model with random drifts that are adapted to the observation filtration generated by the asset prices. In both the cases with full and partial information, an analytic formula for the optimal hedge and a PDE for the utility indifference price have been obtained. In addition, an analytic solution has been derived for the utility indifference price in the full information setting and it was shown that a mutual fund result holds in the full information but not in the partial information setting.
Through power series expansions of the utility indifference price and hedge and a marginal price approximation to the utility indifference price, the unfiltered and the filtered utility- based hedging strategies were respectively implemented. The results indicate that if multiple assets are used for utility-based hedging, the hedge performance is significantly improved through a reduction in the standard deviation and range of the terminal hedging error distributions.
This is a thesis, focused upon the Trends and Challenges of Nuclear Power Treaty. It is a very serious issue that need to be studied in depth.
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Dissertation focuses on the stochastic evolution of the stochastic system shown by the oil futures term structure (FTS). In particular, given its crucial role in a wide range of financial applications, such as in derivatives pricing or in risk mana..
Carbon Trading - In this study we first begin a trading platform for a two-company development in a multi-period setting and derive an equilibrium carbon spot price.
Compose a theoretically sound and conceptually rich essay that demonstrates knowledge of fundamental subject areas of a Learner's academic discipline and specialization.
We investigate both pricing methods for the valuation of American (basket) options in the equity market - Valuation of American Basket Options using Quasi-Monte Carlo Methods.
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Monte-Carlo simulation methods are used to investigate (standardized) Swing options. In a first approach, this is done by an algorithm which is based on the Long-staff Schwartz technique for American and Bermudan options.
In this dissertation explain the computation of implied correlation for liquidly traded (standardized) STCDOs, using single-factor Gaussian copula models for the modeling of the statistical dependence of default events.
In the classical Black-Scholes model, the financial parameters, like the volatilities and correlations, are assumed to be known. These are very strong assumptions that are unrealistic in the real world.
Individuals and the state in Late Bronze Age Greece: Messenian perspectives on Mycenaean society
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