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Thesis

A robust approach to pricing-hedging duality and related problems in mathematical finance

Abstract:

In this thesis, we pursue a robust approach to pricing and hedging problems in mathematical finance. The general goal of this approach is to develop a pricing and hedging theory, which is based mainly on the market information than on a specific probabilistic belief about the future evolution of the risky assets. Motivated by the notion of prediction set in Mykland (2003), we include in our framework modelling beliefs through a set of paths to be considered, e.g. super-replication of a con...

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Division:
MPLS
Department:
Mathematical Institute
Role:
Author

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Role:
Supervisor
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Funding agency for:
Hou, Z
Grant:
RobustFinMath 335421
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Funding agency for:
Hou, Z
Type of award:
DPhil
Level of award:
Doctoral
Awarding institution:
University of Oxford
UUID:
uuid:4a21584a-f898-43ac-bfa5-914fec17961e
Deposit date:
2017-05-02

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