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Pricing and hedging in incomplete markets: Applications to insurance contracts

Posted on:2006-09-04Degree:Ph.DType:Thesis
University:University of Waterloo (Canada)Candidate:Hernandez Rangel, DiegoFull Text:PDF
GTID:2459390008972978Subject:Mathematics
Abstract/Summary:
This thesis studies the problem of pricing and hedging insurance securities in the context of incomplete markets. The range of contingent claims prices consistent with arbitrage considerations is studied and a method of constructing pricing bounds, based on extremal convex distributions, is proposed. Hedging strategies based on local and global risk criteria and suitable approximation methods are then constructed, showing how optimal hedging beyond the usual risk minimization criteria can be approached numerically.
Keywords/Search Tags:Hedging, Incomplete markets
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