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401-3600-01L 6 Credits

Topics in incomplete markets

Topics in incomplete markets - SE WS 05/06

Lecturers & Examiners: Prof. Dr. Martin Schweizer
VVZ CR n/a

Last Updated: 2026-02-05 14:59:46

Abstract

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.

Resources

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

General Information

Language
English

Examination

Type
ungraded semester performance

Course Components

Type Title Time & Place Hours
seminar Topics in incomplete markets - SE WS 05/06
  • Fri 14:15-16:00 (HG E 33.5)
2 h weekly

Offered In