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Cass Business School, City, University of London
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Fast Fourier transform, option pricing, binomial lattice, chirp-z transform
Mean-variance hedging, discrete time, dynamic programming
FFT, Fourier transform, option pricing, Levy process
mean-variance hedging, stochastic volatility, opportunity-neutral measure, leverage effect, Heston's model, affine process, option pricing, optimal investment
mean-variance hedging, opportunity process, opportunity-neutral measure, incomplete market, Sharpe ratio, semimartingales
utility-based hedging, OLS, non-normality risk, commodity futures, skewness, kurtosis
arbitrage, good deal, virtually desirable claim, state price functional, incomplete market, reward for risk measure, Generalized Sharpe Ratio, admissible price region, equivalent martingale measure
option, hedging, CAPM, sequential regression, opportunity-neutral measure
Incremental Sharpe ratio, risk-adjusted returns, dynamic performance measurement, investment-hedging separation, option pricing, mean-variance hedging, Levy process
Hedging error, Fourier transform, mean-variance hedging, exponential Levy process, incomplete market, option pricing
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pension reform, portfolio allocation, housing, OLG model
This is a CEPR Discussion Paper. CEPR charges a fee of $8.00 for this paper.
Pension reform, portfolio allocation, housing, OLG model
Asian options, Discrete sampling, Convolution, FFT
Pensions, Portfolio Allocation, Demographics, Annuities, Risk-Sharing
Hedging error, Fourier transform, mean-variance hedging, optimal hedging, exponential Levy process, excess kurtosis, incomplete market
minimalmartingale measure, optimal portfolio, hedging, CAPM
variance-optimal martingale measure, duality, counterexample
File name: mafi.pdf Size: 107K
Cost-of-capital, market consistent valuation, market value margin, mean-variance hedging, Solvency II
optimal portfolio, truncated quadratic utility, monotone mean-variance preferences, divergence preferences, HARA utility
utility maximization, non-locally bounded semimartingale, incomplete market, sigma-localization, sigma-martingale measure, Orlicz space, convex duality
Aging population, pension reform, Japan
speculative attack, fixed exchange rate, optimal regime switch, reserves, spot speculation, constructive ambiguity
Discrete time hedging, rate of convergence, tracking error
optimal liquidation, price impact, square-root law, singular boundary value problem, stochastic optimal control
barrier options, quadratic hedging, Lévy model, asymptotics, calibration
Annuities, demographics, pensions, portfolio allocation, risk-sharing
utility maximization, Orlicz space, Fenchel duality, supermartingale deflator, effective market completion
optimal investment, stochastic lifestyling, Samuelson paradigm, power utility
monotone mean–variance, monotone Sharpe ratio, free cash-flow stream
File name: ecoj.pdf Size: 259K
