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  1. On the improvement of robust price bounds
    Author: Sester, Julian
    Published: September 2019

    Abstract: This thesis studies several topics related to the area of model-independent and robust finance.<br>In particular, the work addresses valuation approaches that can be applied to determine robust price bounds for exotic derivatives which are... more

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    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    Staats- und Universitätsbibliothek Hamburg Carl von Ossietzky
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    Abstract: This thesis studies several topics related to the area of model-independent and robust finance.
    In particular, the work addresses valuation approaches that can be applied to determine robust price bounds for exotic derivatives which are calculable without imposing assumptions on the dynamics or joint distributions of an underlying process. However, it turns out that the drawback of avoiding specific model assumptions is a lack of applicability in practice since the resulting price bounds are usually rather coarse.
    We show in several approaches how to respect additional constraints yielding a tightened interval of possible prices. For this, we either derive additional market-implied price information and use this information to obtain restrictions on the set of admissible pricing measures or we study the influence of common assumptions in particular situations. Both approaches enable to compute improved price bounds by using adjusted martingale transport techniques which respect the resulting supplementary constraints.
    In a first investigation we take information on the variance of the returns into account. Our study reveals that this information indeed effectively tightens the admissible price range for numerous derivatives whose payoff relies on a single security. We then extend the investigations to derivatives depending on several different underlying securities. The results have important implications on the valuation of exotic basket options.
    We further study the incorporation of price information on options which do not directly influence the payoff of the derivative of interest. Surprisingly, taking into account such information can also result in tighter price bounds. We provide an extensive study on this issue in the three-marginal case. In some situations it also seems sensible to impose an assumption which implies that the underlying process is Markovian. We show how this assumption leads to a modified martingale transport problem and as well to tightened price bounds. Eventually we study a weaker notion of arbitrage, called G-arbitrage which allows to deploy profitable robust strategies even in markets free of robust arbitrage

     
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    Volltext (kostenfrei)
    Source: Union catalogues
    Language: English
    Media type: Dissertation
    Format: Online
    Other identifier:
    FRUB-opus-151466
    Subjects: Transportproblem; Bewertungstheorie; Arbitrage-Pricing-Theorie; Robustheit;
    Scope: 1 Online-Ressource (153 Seiten), Diagramme
    Notes:

    Dissertation, Albert-Ludwigs-Universität Freiburg, 2019
  2. Travel demand modeling for multi-agent transport simulations
    algorithms and systems
    Published: 2007
    Publisher:  ETH, Zürich

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    Universitätsbibliothek Braunschweig
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    C 254594
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    Source: Union catalogues
    Language: English
    Media type: Dissertation
    Format: Online
    Other identifier:
    Diss. ETH No. 17238
    Subjects: Transportproblem; Mathematische Optimierung; Verkehrsverhalten; Mikrosimulation; Agentenbasierte Modellierung; Schweiz; Deutschland
    Scope: Online-Ressource, XIV, 159 S. = 10125 KB, Text, graph. Darst.
    Notes:

    Zsfassung in dt. Sprache

    Zürich, Eidgenössische Techn. Hochsch., Diss., 2007
  3. Economic models for inland navigation in the context of climate change
    Author: Demirel, Erham
    Published: 2011
    Publisher:  Thela Thesis, [Amsterdam]

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    B 377359
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    Source: Union catalogues
    Language: English
    Media type: Dissertation
    Format: Print
    ISBN: 9789036102278
    Series: Tinbergen Institute research series ; 495
    Research series / Universiteit van Amsterdam
    Subjects: Güterverkehr; Klimawandel; Transportproblem; Matching; Infrastrukturinvestition; Westeuropa; Backhaul Problem
    Scope: 122 S., graph. Darst.
    Notes:

    Zsfassung in niederl. Sprache

    Zugl.: Amsterdam, Vrije Univ., Diss., 2011
  4. Aggregation in large-scale distribution systems
    Author: Keith, Nancy Kay Alcorn
    Published: 1978

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    B 352388
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    Source: Union catalogues
    Language: English
    Media type: Dissertation
    Format: Print
    Subjects: Transportproblem; Aggregation; Statistischer Test; USA
    Scope: XV, 151 S., graph. Darst., Kt.
    Notes:

    Kopie, ersch. im Verl. UMI, Ann Arbor, Mich

    Zugl.: West Lafayette, Ind., Purdue Univ., Diss., 1978