CMU Campus
 Faculty in  Mathematical  Finance            
Math Finance Home Conferences Seminars People Open Positions Contact

Probability and Math Finance Seminar

Johannes Muhle-Karbe, HVB-Institut fur Finanzmathematik, Technische Universitat Munchen

On asymptotic power-utility based pricing and hedging

Abstract

Kramkov & Sirbu (2006, 2007) have shown that first-order approximations of utility-based prices and hedging strategies can be computed by solving a mean-variance hedging problem under a specific equivalent martingale measure and relative to a suitable numeraire. To facilitate computations, we propose an alternative representation in terms of the original numeraire.

MONDAY, December 1, 2008
Time: 5:00 P.M.
Location: WeH 6423