The optimal martingale measure for investors with exponential utility function

Metadata Label Value
Author(s): Steiger, Gallus Johannes
Publisher: ETH
Citation:

Steiger, Gallus Johannes. The optimal martingale measure for investors with exponential utility function. ETH (2005). http://dx.doi.org/10.3929/ethz-a-005047932

Document Type: Doctoral and Habilitation Theses  
Documents: Abstract (114.76KB) , Fulltext (5.10MB)
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Detailed Information

Metadata Description
Title The optimal martingale measure for investors with exponential utility function
Author(s) Steiger, Gallus Johannes
Publication Place Zürich
Publisher ETH
Publication Date 2005
Notes Diss., Mathematische Wissenschaften, Eidgenössische Technische Hochschule ETH Zürich, Nr. 16006, 2005
Language English
DOI http://dx.doi.org/10.3929/ethz-a-005047932
Subject(s) Operations Research
Mathematical Statistics
Keyword(s) FINANCIAL INNOVATION
MONEY AND CURRENCY
VOLATILITY
STOCK EXCHANGE QUOTATIONS
STOCHASTIC MODELS
STOCHASTIC SIMULATION
PROBABILITY THEORY
DIFFUSION PROCESSES
STOCHASTIC PROGRAMMING
Description File Name MIME Type Size
Abstract   eth-28098-01.pdf application/pdf 114.76KB
Fulltext   eth-28098-02.pdf application/pdf 5.10MB
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E-Collection record created: Sat, 19 Apr 2008, 03:16:51 CET