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Three essays on derivative pricing a...

Feng, Wei.

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Three essays on derivative pricing and risk management.

Record Type:	Language materials, printed : Monograph/item
Title/Author:	Three essays on derivative pricing and risk management./
Author:	Feng, Wei.
Description:	96 p.
Notes:	Chair: Robert Brooks.
Contained By:	Dissertation Abstracts International63-10A.
Subject:	Economics, Finance. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3067277
ISBN:	0493869506

Three essays on derivative pricing and risk management.
Feng, Wei.

Three essays on derivative pricing and risk management. - 96 p.

Chair: Robert Brooks.

Thesis (Ph.D.)--The University of Alabama, 2002.

The first essay introduces partial hedging in a simple probabilistic approach to demonstrate how to hedge a short position in a target claim if there is not enough initial wealth for full hedging. With partial hedging, the agent allows a potential loss at a predetermined probability level. This can be achieved by shorting a risk adjusted binary option in addition to traditional full hedging. Applications are given on hedging for call options in a Black-Scholes economy and for natural gas options. Partial hedging is also applied to VaR-based risk management.

ISBN: 0493869506Subjects--Topical Terms:

626650
Economics, Finance.

Three essays on derivative pricing and risk management.
LDR:02691nam 2200289 a 45 001 932886
005 20110505
008 110505s2002 eng d
020 $a 0493869506
035 $a (UnM)AAI3067277
035 $a AAI3067277
040 $a UnM $c UnM
100 1 $a Feng, Wei. $3 1256626
245 1 0 $a Three essays on derivative pricing and risk management.
300 $a 96 p.
500 $a Chair: Robert Brooks.
500 $a Source: Dissertation Abstracts International, Volume: 63-10, Section: A, page: 3656.
502 $a Thesis (Ph.D.)--The University of Alabama, 2002.
520 $a The first essay introduces partial hedging in a simple probabilistic approach to demonstrate how to hedge a short position in a target claim if there is not enough initial wealth for full hedging. With partial hedging, the agent allows a potential loss at a predetermined probability level. This can be achieved by shorting a risk adjusted binary option in addition to traditional full hedging. Applications are given on hedging for call options in a Black-Scholes economy and for natural gas options. Partial hedging is also applied to VaR-based risk management.
520 $a The second essay introduces into the Black model of commodity future prices a decreasing volatility in time to maturity and proposes a model of nature gas (NG) option pricing. Then a single risk-factor model is given to depict the comovement of future prices with different maturities. The model provides a simple framework to calculate future portfolio VaR and to hedge positions in future contracts. Applications and empirical tests are based on NG spot and future prices from March 25, 1997 to July 31, 2001.
520 $a In the third essay, an option pricing model is developed subject to an uncertain regime switch in the riskfree rate or the volatility of the underlying asset price. The valuation methodology developed here combines traditional dynamic hedging with the agent's risk preference. Then, the information content of derivative prices is explored by inferring the market expectation of the potential regime switch. Examples with call options and their implications for the implied volatility term structure are discussed. Finally, the regime switch framework is extended to a stochastic regime which includes models with a stochastic interest rate or volatility. Examples are given to derive the Markovian stochastic behavior of volatility from option prices.
590 $a School code: 0004.
650 4 $a Economics, Finance. $3 626650
690 $a 0508
710 2 0 $a The University of Alabama. $3 1019361
773 0 $t Dissertation Abstracts International $g 63-10A.
790 $a 0004
790 1 0 $a Brooks, Robert, $e advisor
791 $a Ph.D.
792 $a 2002
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3067277