Xu, Mingxin

UNCC

There are 2 item/s.

TitleDateViewsBrief Description
Risk minimizing portfolio optimization and hedging with Conditional Value-at-Risk 2009 3150 This thesis looks at the problem of finding the optimal investment strategy of a self- financing portfolio in a dynamic complete market setting so that the risk measured by Conditional Value-at-Risk (CVaR) is minimized under the condition that the ex...
Unified treatment of derivative pricing and forward decision problems within HJM framework 2012 815 We study the HJM approach which was originally introduced in the fixed income market by David Heath, Robert Jarrow and Andrew Morton and later was implemented in the case of European option market by Martin Schweizer, Johannes Wissel, Rene Carmona ...