CORDIS Project
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This project develops a new method for valuing financial assets using alternative mathematical models that account for transaction costs. It aims to improve risk assessment in financial markets by applying utility theory and optimizing hedging strategies, making financial modeling more realistic.
The recent financial crisis has brought to light the importance of correctly evaluating financial assets and their underlying risk.
Any such valuation should be robust, i.e., should not be overly sensitive to the modelling assumptions.
According to the Black--Scholes theory, which lies at the heart of most current valuation methods, the risk involved by a financial asset can be perfectly eliminated by pursuing a proper dynamic hedging strategy.
Unfortunately, although formally elegant, this theo…
UNIVERSITAT WIEN
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