On sources of risk in quadratic hedging and incomplete markets
This thesis is divided into three chapters, each dealing with a different aspect of market incompleteness and its consequences on quadratic hedging strategies and hedging errors. The first chapter studies the effects of market incompleteness due to discrete time trading. We derive the asymptotics (i...
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City, University of London
2017
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| Online Access: | https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.732327 |