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Hedging of Claims: an Entropy Approach
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When
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17.00
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Where
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S421
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Presentations
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Speaker
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Thorsten Rheinlander
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From
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LSE
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Abstract
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We first give a survey about risk-minimizing hedging strategies in financial markets. Our main result then identifies the limit of the optimal exponential utility indifference strategies for vanishing risk aversion with the optimal Foellmer-Sondermann strategy with respect to the minimal entropy martingale measure.
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For further information
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Ulla Jakobsen (Administrative Assistant) Ext. 6879
Department of Statistics, Columbia House
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