Aspects of cash-flow valuation
2004 (English)Doctoral thesis, monograph (Other academic)
This thesis consists of five papers. In the first two papers we consider a general approach to cash flow valuation, focusing on dynamic properties of the value of a stream of cash flows. The third paper discusses immunization theory, where old results are shown to hold in general deterministic models, but often fail to be true in stochastic models. In the fourth paper we comment on the connection between arbitrage opportunities and an immunized position. Finally, in the last paper we study coherent and convex measure of risk applied to portfolio optimization and insurance.
Place, publisher, year, edition, pages
Stockholm: Matematik , 2004. , vi, 116 p.
TRITA-MAT, ISSN 1401-2286 ; 04:11
Mathematical statistics, arbitrage, coherent and convex measures of risk, immunization, insurance, martingale methods
Probability Theory and Statistics
IdentifiersURN: urn:nbn:se:kth:diva-76ISBN: 91-7283-915-5OAI: oai:DiVA.org:kth-76DiVA: diva2:14737
2004-12-10, sal E1, Lindstedtsvägen 3, Stockholm, 10:00
Astrup Jensen, Bjarne, Prof