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Now showing items 11-20 of 31

(Research report / Forskningsrapport, 2008)

In this paper we study the approximation of a sum of assets having marginal logreturns being multivariate normal inverse Gaussian distributed. We analyse the choice of a univariate exponential NIG distribution, where the ...

ARBITRAGE-FREE PRICING DYNAMICS OF INTEREST-RATE GUARANTEES BASED ON THE UTILITY INDIFFERENCE METHOD

(Research report / Forskningsrapport, 2005)

We consider the problem of utility indifference pricing of a put option written on a non-tradeable asset, where we can hedge in a correlated asset. The dynamics are assumed to be a two-dimensional geometric Brownian motion, ...

(Research report / Forskningsrapport, 2005)

We propose a quasi-Monte Carlo (qMC) algorithm to simulate variates from the normal inverse Gaussian (NIG) distribution. The algorithm is based on a Monte Carlo technique found in the Rydberg reference, and is based on ...

(Research report / Forskningsrapport, 2004)

We analyze the classical Merton's portfolio optimization problem when the risky asset follows an exponential Ornstein-Uhlenbeck process, also known as the Schwartz mean-reversion dynamics. The corresponding Hamilton-Jacobi-Bellman ...

(Research report / Forskningsrapport, 2004)

We use the dynamic programming approach to derive an equation for the utility indifference price of Markovian claims in a stochastic volatility model proposed by Barndorff-Nielsen and Shephard (2001). The pricing equation ...

(Research report / Forskningsrapport, 2004)

We model the daily average temperature variations with a mean-reverting Ornstein-Uhlenbeck process driven by generalized hyperbolic Lévy process and having seasonal mean and volatility. It is emirically demonstrated that ...

(Research report / Forskningsrapport, 2008)

Electricity is a commodity which is non-storable, and therefore difficult to move forward in time. Hence, forward looking information about market conditions is not necessarily incorporated in today's prices, and the typical ...

(Research report / Forskningsrapport, 2002)

We develop an anticipative calculus for Lévy processes with finite second moment. The calculus is based on the chaos expansion of square-integrable random variables in terms of iterated integrals of the compensated Poisson ...

(Research report / Forskningsrapport, 2009)

We study the robustness of the sensitivity with respect to parameters in expectation functionals with respect to various approximations of a Lévy process. As sensitivity parameter, we focus on the delta of an European ...

(Research report / Forskningsrapport, 2003)

Under general conditions stated in Rheinländer 30], we prove that in a stochastic volatility market the Radon-Nikodym density of the minimal entropy martingale measure can be expressed in terms of the solution of a semilinear ...