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Thesis

Mathematical methods for valuation and risk assessment of investment projects and real options

Abstract:

In this thesis, we study the problems of risk measurement, valuation and hedging of financial positions in incomplete markets when an insufficient number of assets are available for investment (real options). We work closely with three measures of risk: Worst-Case Scenario (WCS) (the supremum of expected values over a set of given probability measures), Value-at-Risk (VaR) and Average Value-at-Risk (AVaR), and analyse the problem of hedging derivative securities depending on a non-traded ass...

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Myriam Cisneros-Molina More by this author
Publication date:
2006
URN:
uuid:28e85998-7b9c-4404-b5ce-c87f0d4154b5
Local pid:
oai:eprints.maths.ox.ac.uk:645

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