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Pricing and risk sharing in incomplete markets
File(s)
Author(s)
Crosby, Albert John
Type
Thesis
Abstract
We consider three topics.
The topics are: Exact pricing of discretely-sampled variance derivatives (Chapter 2), No Good Deals - No Bad Models (Chapter 4) and Risk sharing in international economies and market incompleteness (Chapter 5).

The unifying themes are: Incomplete markets, asset pricing and ambiguity aversion (or model uncertainty).
Version
Open Access
Date Issued
2015-12
Date Awarded
2016-07
URI
DOI
Copyright Statement
Attribution NoDerivatives 4.0 International Licence (CC BY-ND)
License URL
Advisor
Bingham, Nick
Publisher Department
Mathematics
Publisher Institution
Imperial College London
Qualification Level
Doctoral
Qualification Name
Doctor of Philosophy (PhD)