ETH :: D-MATH :: Topics in incomplete markets

The choice of optimal investments as well as pricing in incomplete markets is often based on utility maximization. An important approach to tackle this optimization problem is to solve a suitable dual problem. In this seminar we investigate theoretical aspects of this duality approach and aim to apply it to study the utility-based valuation of contingent claims.

Literature

J. Hugonnier, D. Kramkov, Optimal investment with random endowments in incomplete markets, Annals of Applied Probability, 14, 845-864, 2004
D. Kramkov, W. Schachermayer, The asymptotic elasticity of utility functions and optimal investment in incomplete markets, Annals of Applied Probability, 9, 904-950, 1999
D. Kramkov, M. Sîrbu, Sensitivity analysis of utility based prices and risk-tolerance wealth processes, preprint, www.math.cmu.edu/~kramkov/publications/sensitivity_04.pdf, 2005
D. Kramkov, M. Sîrbu, On the two-times differentiability of the value functions in the problem of optimal investment in incomplete markets, preprint www.math.cmu.edu/~kramkov/publications/smooth_04.pdf, 2005
W. Schachermayer, Portfolio Optimization in incomplete financial markets, Lecture notes of the Scuola Normale Superiore Cattedra Galileiana, www.fam.tuwien.ac.at/~wschach/pubs/preprnts/prpr0116.pdf, 2004
L.C.G. Rogers, Duality in constrained optimal investment and consumption problems, LNM 1814, 95-131, 2003

Schedule:

Date

Speaker

Article

04.11.05

Prof. M. Schweizer

11.11.05

G. Bordigoni

[Sch04], p. 1-11

18.11.05

M. Nutz

[Sch04], p. 12-23

25.11.05

S. Sarbu / J. Andersson

[KS99]

01.12.05

S. Sarbu / J. Andersson

[KS99]

5./6.

16.12.05

Prof. M. Schweizer

[KS05b]

7./8.

13.01.06

D. Seiler

[HK04], ([HKS05])

20.01.06 (and 27.01.06)

S. Klöppel

[KS05a], p.11-31

10.

27.01.06 (or 03.02.06)

L. Cavazzana

[KS05a], p. 32-53

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