Exponential utility indifference valuation

correlation, semimartingales, BSDEs, convergence
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Author
Frei, Christoph Martin
Date
2009
Type
    Doctoral Thesis
Rights / license
In Copyright - Non-Commercial Use Permitted
Permanent link
https://doi.org/10.3929/ethz-a-005897668
Publication status
published
External links
Search print copy at ETH Library
Contributors
Examiner: Cvitanić, Jakša
Examiner: Schweizer, Martin
Publisher
ETH
Subject
PORTFOLIO-STRUKTURIERUNG (ANLAGESTRATEGIEN); KAPITALANLAGE-BEWERTUNGSMODELLE (OPERATIONS RESEARCH); NUTZWERT (WIRTSCHAFT); MODELLIERUNG SPEZIFISCHER PROBLEME DER WIRTSCHAFT (OPERATIONS RESEARCH); STOCHASTISCHE MODELLE DER MATHEMATISCHEN LINGUISTIK; ASSET ALLOCATION (INVESTMENT STRATEGIES); CAPITAL ASSET PRICING MODELS (OPERATIONS RESEARCH); UTILITY VALUE (ECONOMY); MODELING OF SPECIFIC ASPECTS OF THE ECONOMY (OPERATIONS RESEARCH); STOCHASTIC MODELS OF MATHEMATICAL LINGUISTICS
Organisational unit
03658 - Schweizer, Martin / Schweizer, Martin  
Notes
Diss., Eidgenössische Technische Hochschule ETH Zürich, Nr. 18494, 2009.
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