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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| Formato: | Tesis |
| Lenguaje: | English |
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2022
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