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Probability and Math Finance Seminar
Johannes Muhle-Karbe, HVB-Institut fur Finanzmathematik, Technische Universitat MunchenOn asymptotic utility-based pricing and hedging in affine stochastic volatility models AbstractThis talk is concerned with the computation of utility-based prices and hedging strategies in models allowing both for jumps and stochastic volatility. Using results on affine semimartingales and on mean-variance hedging we show how to calculate the relevant quantities in semi-explicit form in affine stochastic volatility models. Moreover, we present some numerical examples for the model of Barndorff-Nielsen and Shephard. FRIDAY, December 5, 2008 |