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Pricing and Hedging in Incomplete Financial Markets

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  • Wurth, A.M.

    (Tilburg University)

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    Abstract

    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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    File URL: http://arno.uvt.nl/show.cgi?fid=94930
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    Bibliographic Info

    Paper provided by Tilburg University in its series Open Access publications from Tilburg University with number urn:nbn:nl:ui:12-3444699.

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    Length: 190
    Date of creation: 2009
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    Publication status: Published
    Handle: RePEc:ner:tilbur:urn:nbn:nl:ui:12-3444699

    Note: Dissertation
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    Web page: http://www.tilburguniversity.edu/

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    1. Segal, U. & Spivak, A., 1995. "First-Order Risk Aversion and Non-Differentiability," UWO Department of Economics Working Papers 9519, University of Western Ontario, Department of Economics.
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