Optimal investment, valuation and hedging under model ambiguity
<p>In this thesis, we study several utility maximisation problems under model uncertainty, involving optimal investment, valuation and hedging.</p> <p>We first derived martingale distortion representations for classical utility maximisation problems in a non-Markovian stochastic f...
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| Format: | Thesis |
| Language: | English |
| Published: |
2022
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