 
Summary: Introduction Modelling in finance Risk measures Pricing via risk measures
Option Pricing and Hedging via Risk Measures
Ove GĻottsche
Department of Applied Mathematics
University of Twente
PhDTW Colloquium, 09.04.2009
Ove GĻottsche University of Twente
Option Pricing and Hedging via Risk Measures
Introduction Modelling in finance Risk measures Pricing via risk measures
Outline
Modelling in finance: stocks, bonds, options and pricing of
options
Risk measures: properties and representation
Pricing via risk measures
Ove GĻottsche University of Twente
Option Pricing and Hedging via Risk Measures
Introduction Modelling in finance Risk measures Pricing via risk measures
Financial market
Let the filtered probability space (, F, {Ft}t[0,T], P) be given.
The market consists of two price processes: stocks (St)t[0,T] and
