The Faculty of Law and Economics: Browsing Rechts- und Staatswissenschaftliche Fakultät by Author "Riedel, Frank"
Now showing items 1-11 of 11
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Bounded Rationality, Heterogeneity and Learning
Matzke, Christina (2009-07-27)The dissertation deals with both a model in which agents with limited information conform to a learning rule, as well as boundedly rational consumers who follow simple rules of thumb. The first case is treated within a ... -
CPPI Strategies in Discrete Time
Brandl, Michael (2009-11-17)In general, the purpose of portfolio insurance strategies is to limit the downside risk of risky portfolios. The constant proportion portfolio insurance (CPPI) is a prominent example of a portfolio insurance strategy. Based ... -
Essays on Basket Options Hedging and Irreversible Investment Valuation
Su, Xia (2008)<p>Basket options are one of well-known newly-generated exotic options. As its name implies, it is an option on a portfolio of several assets. As the underlying basket offers more diversification, basket options gain ... -
Essays on Dual Risk Measures and the Asymptotic Term Structure
Schulze, Klaas (2009-08-27)This dissertation covers two distinct topics in the field of financial economics: risk measurement and the term structure of interest rates.<br /> The phenomenon of risk plays a ubiquitous role in finance and insurance as ... -
Evolution in Structured Populations
Koch, Lars Peter (2008)<p>How does social and economic interaction of agents within large populations depend on their perception of the matching-structure?<br /> When do evolutionary dynamics with limited information processing lead to stable ... -
Four Essays on Investment
Schröder, David (2008)Investment decisions lie at the heart of many economic activities. Each day, individual investors, banks, and fund management firms try to optimize their portfolio investments at international financial markets around the ... -
Handelsstrategien mit Mindestgarantien: Eine analytische Beschreibung
Balder, Sven (2009-04-16)Zweck von Handelsstrategien mit Mindestgarantien ist es eine untere Grenze von Vermögen zu sichern und dabei trotzdem von steigenden Finanzmärkten zu profitieren. Die Absicherung wird dabei häufig durch eine dynamische ... -
Nonlinear and Stochastic Dynamical Systems Modeling Price Dynamics: Aspects of Financial Economics in Oil Markets
Jäger, Simon (2008)In many economic and financial processes mathematical modeling leads to nonlinear and stochastic dynamical systems. The interplay of stochastic and nonlinear effects is important under many aspects. Whereas the dynamic ... -
On Dynamic Coherent and Convex Risk Measures: Risk Optimal Behavior and Information Gains
Engelage, Daniel (2009-08-27)We consider tangible economic problems for agents assessing risk by virtue of dynamic coherent and convex risk measures or, equivalently, utility in terms of dynamic multiple priors and dynamic variational preferences in ... -
On Modeling and Measuring Credit, Recovery and Liquidity Risks
Cadena Ibarra, Juan Marcelo (2010-03-17)We investigate three major risks of financial markets: credit, recovery and liquidity risks.<br /> Chapter 1 studies credit risk in an irreversible investment problem. The analysis demonstrates that optimal investment time ... -
Risk Management of Life Insurance Contracts with Interest Rate and Return Guarantees and an Analysis of Chapter 11 Bankruptcy Procedure
Chen, An (2007)Equity-linked life insurance contracts are an example of theinterplay between insurance and finance. By considering some specific equity-linked life insurance contracts, this thesis mainly studies risk management methods, ...