Tesi etd-05052011-142753 |
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Tipo di tesi
Tesi di laurea specialistica
Autore
MEREU, CARLA
URN
etd-05052011-142753
Titolo
BSDE in Finance: an application to hedging in incomplete markets.
Dipartimento
SCIENZE MATEMATICHE, FISICHE E NATURALI
Corso di studi
MATEMATICA
Relatori
relatore Prof. Pratelli, Maurizio
correlatore Prof. Ankirchner, Stefan
correlatore Prof. Ankirchner, Stefan
Parole chiave
- incomplete markets
- hedging with futures
- BSDEs
Data inizio appello
27/05/2011
Consultabilità
Non consultabile
Data di rilascio
27/05/2051
Riassunto
In this thesis, we describe a BSDE approach to hedging with basic risk,
useful when dealing with risky assets in incomplete markets. We analyze
the theoretic instruments supporting this approach, in particular we prove
existence, uniqueness and regularity results for BSDEs in different
settings. Finally, we illustrate an application of this approach to an
incomplete market, giving an explicit formula for the hedge ratio.
useful when dealing with risky assets in incomplete markets. We analyze
the theoretic instruments supporting this approach, in particular we prove
existence, uniqueness and regularity results for BSDEs in different
settings. Finally, we illustrate an application of this approach to an
incomplete market, giving an explicit formula for the hedge ratio.
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