E-Dissertationen: Auflistung E-Dissertationen nach Autor "Sandmann, Klaus"
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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 about Option Valuation under Stochastic Interest Rates
Wittke, Manuel (2011-04-06)This thesis consists of three essays on the valuation of options under stochastic interest rates. <br /> In the first essay we examine multivariate models where the stochastic process of a log-normally distributed underlying ... -
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 ... -
Four Essays in Equity-Linked Life and Pension Insurance: Financial Analysis of Surrender Guarantees, Pension Guarantee Funds and Pension Retirement Plans
Uzelac, Filip (2014-10-07)In this dissertation we study three very important types of insurance, equity-linked life insurance with surrender guarantees, pension insurance and the insurance provided by (pension) insurance guarantee funds.<br /> In ... -
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 ... -
Lévy Processes in Finance: The Change of Measure and Non-Linear Dependence
Wannenwetsch, Jens (2005)This thesis deals with applications of Lévy processes in the field of mathematical finance. The class of Lévy processes generalizes the widely used Brownian motion in the sense that the distribution of their increments can ... -
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 ... -
Pricing and Risk Management of Basket FX Derivatives and Unit-Linked Life Insurance Contracts
Li, Jing (2012-10-16)This dissertation deals with pure financial derivatives and financial derivatives which are components of life insurance contracts.<br /> Chapter 1 focuses on the complex situation of basket foreign exchange (FX) products. ... -
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, ... -
Valuation of Convertible Bonds
Huang, Haishi (2010-03-02)Convertible bonds are hybrid financial instruments with complex features. They have characteristics of both debts and equities, and usually several options are embedded in this kind of contracts. The optimality of the ...