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Title: Pricing and risk sharing in incomplete markets
Author: Crosby, Albert John
ISNI:       0000 0004 7427 6683
Awarding Body: Imperial College London
Current Institution: Imperial College London
Date of Award: 2016
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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).
Supervisor: Bingham, Nick Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral