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Valuing risky income streams in incomplete markets
Bibliography: leaves 69-71.
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| Format: | Thesis |
| Language: | English |
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Department of Mathematics and Applied Mathematics
2014
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| _version_ | 1867613244710977536 |
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| access_status_str | Open Access |
| author | Johnson, Clare |
| author2 | Ouwehand, Peter |
| author_browse | Johnson, Clare Ouwehand, Peter |
| author_facet | Ouwehand, Peter Johnson, Clare |
| author_sort | Johnson, Clare |
| collection | Thesis |
| description | Bibliography: leaves 69-71. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/4892 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:33:04.194Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2014 |
| publishDateRange | 2014 |
| publishDateSort | 2014 |
| publisher | Department of Mathematics and Applied Mathematics |
| publisherStr | Department of Mathematics and Applied Mathematics |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/4892 Valuing risky income streams in incomplete markets Johnson, Clare Ouwehand, Peter Mathematics and Applied Mathematics Bibliography: leaves 69-71. Empirical evidence suggesting that world financial markets are incomplete leads to the question of how best to price and hedge contingent claims and derivative securities in incomplete markets. The focus of this dissertation is on a model proposed by Carr, Geman and Madam [7], which combines elements of arbitrage pricing theory with expected utility maximisation to decide whether a risky investment opportunity is worth undertaking or not. An account of the state of the art of pricing and hedging in incomplete markets is followed by a detailed exposition of the new model. A chapter which details the issues which arise when the model is extended treats multiple time periods, continuous time, and an infinite state space. It is not entirely obvious in each case how the model may be extended, and current work is considered along with some new suggestions to address these issues. A small battery of computer simulations based on the proposed multiple period model is performed using a trinomial tree structure. A justification for using the new model rather than finite difference or classical multinomial tree methods is provided in the form of an argument which establishes the validity of a new approach in cases when the Black-Scholes formulation cannot be applied, chiefly when the market is incomplete. 2014-07-31T08:08:04Z 2014-07-31T08:08:04Z 2001 Master Thesis Masters M http://hdl.handle.net/11427/4892 eng application/pdf Department of Mathematics and Applied Mathematics Faculty of Science University of Cape Town |
| spellingShingle | Mathematics and Applied Mathematics Johnson, Clare Valuing risky income streams in incomplete markets |
| thesis_degree_str | Master's |
| title | Valuing risky income streams in incomplete markets |
| title_full | Valuing risky income streams in incomplete markets |
| title_fullStr | Valuing risky income streams in incomplete markets |
| title_full_unstemmed | Valuing risky income streams in incomplete markets |
| title_short | Valuing risky income streams in incomplete markets |
| title_sort | valuing risky income streams in incomplete markets |
| topic | Mathematics and Applied Mathematics |
| url | http://hdl.handle.net/11427/4892 |
| work_keys_str_mv | AT johnsonclare valuingriskyincomestreamsinincompletemarkets |