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Asymptotic power utility-based pricing and hedging

Kallsen, Jan ; Muhle-Karbe, Johannes ; Vierthauer, Richard

In: Mathematics and Financial Economics, 2014, vol. 8, no. 1, p. 1-28

Event risk, contingent claims and the temporal resolution of uncertainty

Collin-Dufresne, Pierre ; Hugonnier, Julien

In: Mathematics and Financial Economics, 2014, vol. 8, no. 1, p. 29-69

The structure of optimal consumption streams in general incomplete markets

Malamud, Semyon ; Trubowitz, Eugene

In: Mathematics and Financial Economics, 2007, vol. 1, no. 2, p. 129-161

Evolutionary stable stock markets

Evstigneev, Igor ; Hens, Thorsten ; Schenk-Hoppé, Klaus

In: Economic Theory, 2006, vol. 27, no. 2, p. 449-468

Indifference pricing for CRRA utilities

Malamud, Semyon ; Trubowitz, Eugene ; Wüthrich, Mario

In: Mathematics and Financial Economics, 2013, vol. 7, no. 3, p. 247-280

Additive habit formation: consumption in incomplete markets with random endowments

Muraviev, Roman

In: Mathematics and Financial Economics, 2011, vol. 5, no. 2, p. 67-99

Quasi Risk-Neutral Pricing in Insurance

Niederau, Harry ; Zweifel, Peter

In: ASTIN Bulletin, 2009, vol. 39, no. 1, p. 317-337

The weather derivatives market : modelling and pricing temperature

Bellini, Francesca ; Barone-Adesi, Giovanni (Dir.)

Thèse de doctorat : Università della Svizzera italiana, 2005 ; 2005ECO001.

The main objective of the thesis is to find a pricing model for weather derivatives based on temperature. A general Ornstein-Uhlenbeck process with seasonal mean and volatility is proposed to model the time-dynamics of daily average temperatures. The model is fitted to almost 54 years of daily observations recorded in Chicago, Philadelphia, Portland and Tucson. The unequivocal evidence of fat...