Lam, KwokChung Ivan (2011) Indifference Pricing in a Basis Risk Model with Stochastic Volatility. Masters thesis, oxford university.

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Abstract
The aim of this dissertation is to study exponential indifference pricing in a basis risk model of one tradable asset and one correlated nontradable asset in which a claim on the nontradable asset is hedged using the tradable asset. We extend this to incorporate stochastic volatilities for both assets, driven by a common stochastic factor, and look for the corresponding indifference price characterisation under such a model. We would also look at the optimal portfolio in hedging the claim on the nontradable asset, the residual risk process and the payoff decomposition of the claim involving the indifference price process and a local martingale. Towards the end of the discussion, we would outline a procedure which one could use to obtain numerical results for the indifference price under this model.
Item Type:  Thesis (Masters) 

Subjects:  H  N > Mathematics education 
Research Groups:  Mathematical and Computational Finance Group 
ID Code:  1377 
Deposited By:  Laura Auger 
Deposited On:  13 Aug 2011 08:59 
Last Modified:  29 May 2015 19:04 
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