Topics in incomplete markets
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Organizers
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Prof. Martin Schweizer Susanne Klöppel
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Place
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HG E 33.5
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Time
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Fridays, 14:15-16:00
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First meeting
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Friday, 28.10.2005, 14:15
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Language
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Talks can be given either in German or in English.
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Requirements
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Ideally: some familiarity with probability theory and mathematical finance.
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Description
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The choice of optimal investments as well as pricing in incomplete markets is often based on utility maximization. An important approach to tackle this optimization problem is to solve a suitable dual problem. In this seminar we investigate theoretical aspects of this duality approach and aim to apply it to study the utility-based valuation of contingent claims.
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Literature
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- J. Hugonnier, D. Kramkov, Optimal investment with random endowments in incomplete markets, Annals of Applied Probability, 14, 845-864, 2004
- D. Kramkov, W. Schachermayer, The asymptotic elasticity of utility functions and optimal investment in incomplete markets, Annals of Applied Probability, 9, 904-950, 1999
- D. Kramkov, M. Sîrbu, Sensitivity analysis of utility based prices and risk-tolerance wealth processes, preprint, www.math.cmu.edu/~kramkov/publications/sensitivity_04.pdf, 2005
- D. Kramkov, M. Sîrbu, On the two-times differentiability of the value functions in the problem of optimal investment in incomplete markets, preprint www.math.cmu.edu/~kramkov/publications/smooth_04.pdf, 2005
- W. Schachermayer, Portfolio Optimization in incomplete financial markets, Lecture notes of the Scuola Normale Superiore Cattedra Galileiana, www.fam.tuwien.ac.at/~wschach/pubs/preprnts/prpr0116.pdf, 2004
- L.C.G. Rogers, Duality in constrained optimal investment and consumption problems, LNM 1814, 95-131, 2003
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Schedule:
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Date
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Speaker
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Article
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04.11.05
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Prof. M. Schweizer
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1.
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11.11.05
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G. Bordigoni
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[Sch04], p. 1-11
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2.
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18.11.05
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M. Nutz
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[Sch04], p. 12-23
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3.
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25.11.05
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S. Sarbu / J. Andersson
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[KS99]
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4.
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01.12.05
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S. Sarbu / J. Andersson
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[KS99]
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5./6.
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16.12.05
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Prof. M. Schweizer
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[KS05b]
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7./8.
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13.01.06
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D. Seiler
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[HK04], ([HKS05])
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9.
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20.01.06 (and 27.01.06)
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S. Klöppel
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[KS05a], p.11-31
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10.
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27.01.06 (or 03.02.06)
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L. Cavazzana
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[KS05a], p. 32-53
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