Beyond Black and Scholes
Uncertainty aversion, delta-vega hedging, and bubbles and crashes
dc.contributor.author
Herrmann, Sebastian
dc.contributor.supervisor
Schweizer, Martin
dc.contributor.supervisor
Soner, Mete
dc.date.accessioned
2017-10-19T07:08:10Z
dc.date.available
2017-06-12T03:32:50Z
dc.date.available
2017-10-19T07:08:10Z
dc.date.issued
2016
dc.identifier.uri
http://hdl.handle.net/20.500.11850/114733
dc.identifier.doi
10.3929/ethz-a-010609303
dc.format
application/pdf
dc.language.iso
en
en_US
dc.publisher
ETH Zurich
dc.rights.uri
http://rightsstatements.org/page/InC-NC/1.0/
dc.subject
DERIVATIVE PRODUCTS (FINANCE)
en_US
dc.subject
STOCHASTIC MODELS + STOCHASTIC SIMULATION (PROBABILITY THEORY)
en_US
dc.subject
KURSSICHERUNG (FINANZMATHEMATIK)
en_US
dc.subject
MARTINGALE + SEMIMARTINGALE (WAHRSCHEINLICHKEITSRECHNUNG)
en_US
dc.subject
OPTIONS (FINANCE)
en_US
dc.subject
PORTFOLIO SELECTION (OPERATIONS RESEARCH)
en_US
dc.subject
DERIVATIVE PRODUKTE (FINANZEN)
en_US
dc.subject
OPTIONEN (FINANZEN)
en_US
dc.subject
SPECIAL STOCHASTIC PROCESSES (PROBABILITY THEORY)
en_US
dc.subject
VOLATILITÄT (FINANZEN)
en_US
dc.subject
MARTINGALES + SEMIMARTINGALES (PROBABILITY THEORY)
en_US
dc.subject
STOCHASTISCHE MODELLE + STOCHASTISCHE SIMULATION (WAHRSCHEINLICHKEITSRECHNUNG)
en_US
dc.subject
HEDGING (FINANCIAL MATHEMATICS)
en_US
dc.subject
PORTFOLIOTHEORIE (OPERATIONS RESEARCH)
en_US
dc.subject
VOLATILITY (FINANCE)
en_US
dc.subject
SPEZIELLE STOCHASTISCHE PROZESSE (WAHRSCHEINLICHKEITSRECHNUNG)
en_US
dc.title
Beyond Black and Scholes
en_US
dc.type
Doctoral Thesis
dc.rights.license
In Copyright - Non-Commercial Use Permitted
dc.date.published
2016
ethz.title.subtitle
Uncertainty aversion, delta-vega hedging, and bubbles and crashes
en_US
ethz.size
1 Band
en_US
ethz.code.ddc
DDC - DDC::5 - Science::510 - Mathematics
en_US
ethz.code.ddc
DDC - DDC::5 - Science::510 - Mathematics
en_US
ethz.identifier.diss
23301
en_US
ethz.identifier.nebis
010609303
ethz.publication.place
Zurich
ethz.publication.status
published
en_US
ethz.leitzahl
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics
en_US
ethz.leitzahl
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::03658 - Schweizer, Martin / Schweizer, Martin
en_US
ethz.leitzahl.certified
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::03658 - Schweizer, Martin / Schweizer, Martin
ethz.date.deposited
2017-06-12T03:39:15Z
ethz.source
ECOL
ethz.source
ECIT
ethz.identifier.importid
imp59366b8a7bee351247
ethz.identifier.importid
imp59365444cfb9759809
ethz.ecolpid
eth:48876
ethz.ecitpid
pub:176534
ethz.eth
yes
en_US
ethz.availability
Open access
en_US
ethz.rosetta.installDate
2017-07-13T18:28:46Z
ethz.rosetta.lastUpdated
2021-02-14T19:31:06Z
ethz.rosetta.exportRequired
true
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true
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Doctoral Thesis [30317]