Summary: Introduction Modelling in finance Risk measures Pricing via risk measures
Option Pricing and Hedging via Risk Measures
Ove G¨ottsche
Department of Applied Mathematics
University of Twente
PhD-TW Colloquium, 09.04.2009
Ove G¨ottsche 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 G¨ottsche 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

Source: Al Hanbali, Ahmad - Department of Applied Mathematics, Universiteit Twente

Collections: Engineering