Beyond Black and Scholes

Uncertainty aversion, delta-vega hedging, and bubbles and crashes
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Author
Herrmann, Sebastian
Date
2016
Type
    Doctoral Thesis
Rights / license
In Copyright - Non-Commercial Use Permitted
Permanent link
https://doi.org/10.3929/ethz-a-010609303
Publication status
published
External links
Search print copy at ETH Library
Contributors
Examiner: Schweizer, Martin
Examiner: Soner, Metecc
Publisher
ETH Zurich
Subject
DERIVATIVE PRODUCTS (FINANCE); STOCHASTIC MODELS + STOCHASTIC SIMULATION (PROBABILITY THEORY); KURSSICHERUNG (FINANZMATHEMATIK); MARTINGALE + SEMIMARTINGALE (WAHRSCHEINLICHKEITSRECHNUNG); OPTIONS (FINANCE); PORTFOLIO SELECTION (OPERATIONS RESEARCH); DERIVATIVE PRODUKTE (FINANZEN); OPTIONEN (FINANZEN); SPECIAL STOCHASTIC PROCESSES (PROBABILITY THEORY); VOLATILITÄT (FINANZEN); MARTINGALES + SEMIMARTINGALES (PROBABILITY THEORY); STOCHASTISCHE MODELLE + STOCHASTISCHE SIMULATION (WAHRSCHEINLICHKEITSRECHNUNG); HEDGING (FINANCIAL MATHEMATICS); PORTFOLIOTHEORIE (OPERATIONS RESEARCH); VOLATILITY (FINANCE); SPEZIELLE STOCHASTISCHE PROZESSE (WAHRSCHEINLICHKEITSRECHNUNG)
Organisational unit
02000 - Dep. Mathematik / Dep. of Mathematics
03658 - Schweizer, Martin / Schweizer, Martin  
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