Andreas Würth
| Date of Ph.D. defense: | 8 May 2009 |
| Title of thesis: | Pricing and Hedging in Incomplete Financial Markets |
| ISBN: | 978 90 5668 236 1 |
| Promotores: | Prof.dr. J.M. Schumacher |
Abstract:
This thesis considers different aspects of incomplete financial markets, from a theoretical as well as from a practical point of view.
In the theoretical part, Chapter 2 gives a new definition of the notion of risk aversion, which applies also to nonsmooth utility functions. This result is applied in Chapter 3, where the equivalence of the minimax martingale measure to the physical measure is proved for non-standard utility functions.
In the practical part, Chapter 4 considers numerical methods for indifference pricing in a stochastic volatility model. In Chapter 5, a feasible procedure is developed for calculating the CVaR price in unit-linked insurance products under an additional assumption. This assumption is relaxed in Chapter 6.
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