Items where Research Group is "Mathematical and Computational Finance Group" and Year is 2009

A

Anastiasiades, Georgios (2009) Utility indifference pricing and hedging - Temperature modeling and its significance in the construction of weather derivatives. Masters thesis, Mathematical Institute.

B

Burgos, Sylvestre (2009) Investigation into Vibrato Monte Carlo for the Computation of
Greeks of Discontinuous Payoffs. Masters thesis, Mathematical Institute.

C

Cao, Bo (2009) Disposition Effect on Two Classical Expected Utility Models:
Exponential and Power. Masters thesis, Mathematical Institute.

Chassenieux, Thomas (2009) Indifference Price and Optimal Hedging Performance for Variance Swaps. Masters thesis, Mathematical Institute.

G

Gandhi, Chetak (2009) A Comparison Between Goal Reaching and Yaari's Models. Masters thesis, Mathematical Institute.

H

Han, Wang (2009) Time-Inconsistency: Performance of the Local Mean-Variance
Optimal Portfolio. Masters thesis, Mathematical Institute.

Hao, Ni (2009) Robust hedging of digital double touch barrier options. Masters thesis, Mathematical Institute.

J

Jiang, Yan (2009) Optimal Selling Strategy With Piecewise Linear Drift Function. Masters thesis, Mathematical Institute.

M

Monoyios, Michael (2009) Optimal investment and hedging under partial and inside information. In: Radon Series on Computational and Applied Mathematics. Radon Series on Computational and Applied Mathematics . De Gruyter, Berlin. (In Press)

T

Thom, Howard (2009) Longstaff Schwartz Pricing of Bermudan Options and their Greeks. Masters thesis, Mathematical Institute.

W

Whitley, Alan (2009) Pricing of European, Bermudan and American Options under the
Exponential Variance Gamma Process. Masters thesis, Mathematical Institute.