Optimal investment, valuation and hedging under model ambiguity

Thesis

In this thesis, we study several utility maximisation problems under model uncertainty, involving optimal investment, valuation and hedging.

We first derived martingale distortion representations for classical utility maximisation problems in a non-Markovian stochastic factor model, with power, logarithmic and exponential utilities.

We then study multiple priors power utility maximisation problems when the reference model is a non-Markovian stochastic factor model, and deri...

Expand abstract

Authors: Ye, J

• Type of award: DPhil
• Level of award: Doctoral
• Awarding institution: University of Oxford
• Language: English
• Keywords: model ambiguity; basis risk; stochastic volatility
• Subjects: financial mathematics