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Essays on Family Behavior in Developing SettingsLaFave, Daniel Ryan January 2012 (has links)
<p>This dissertation investigates the economic behavior of families in developing settings. Utilizing uniquely rich, longitudinal survey data from Indonesia, it demonstrates the complexity of market environments facing rural households, as well as the importance of extended family networks in determining the health and well-being of young children. These essays serve as an illustration of advances in development economics that are possible when fundamental models are revisited and examined with new longitudinal data. The results of these exercises are important not only for updating economic models of behavior, but for what they reveal about the complexities of decision making, and for the effective design and evaluation of development policy around the world.</p> / Dissertation
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Completion Of A Levy Market Model And Portfolio OptimizationTurkvatan, Aysun 01 September 2008 (has links) (PDF)
In this study, general geometric Levy market models are considered. Since these models are, in general, incomplete, that is, all contingent claims cannot be replicated by a self-financing portfolio consisting of investments in a risk-free bond and in the stock, it is suggested that the market should be enlarged by artificial assets based on the power-jump processes of the underlying Levy process. Then it is shown that the enlarged market is complete and the explicit hedging portfolios for claims whose payoff function depends on the prices of the stock and the artificial assets at maturity are derived. Furthermore, the portfolio optimization problem is considered in the enlarged market. The problem consists of choosing an optimal portfolio in such a way that the largest expected utility of the terminal wealth is obtained. It is shown that for particular choices of the equivalent martingale measure in the market, the optimal portfolio only consists of bonds and stocks. This corresponds to completing the market with additional assets in such a way that they are superfluous in the sense that the terminal expected utility is not improved by including these assets in the portfolio.
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Completion, Pricing And Calibration In A Levy Market ModelYilmaz, Busra Zeynep 01 September 2010 (has links) (PDF)
In this thesis, modelling with Lé / vy processes is considered in three parts. In the first part, the general geometric Lé / vy market model is examined in detail. As such markets are generally incomplete, it is shown that the market can be completed by enlarging with a series of new artificial assets called &ldquo / power-jump assets&rdquo / based on the power-jump processes of the underlying Lé / vy process. The second part of the thesis presents two different methods for pricing European options: the martingale pricing approach and the Fourier-based characteristic formula method which is performed via fast Fourier transform (FFT). Performance comparison of the pricing methods led to the fact that the fast Fourier transform produces very small pricing errors so the results of both methods are nearly identical. Throughout the pricing section jump sizes are assumed to have a particular distribution. The third part contributes to the empirical applications of Lé / vy processes. In this part, the stochastic volatility extension of the jump diffusion model is considered and calibration on Standard& / Poors (S& / P) 500 options data is executed for the jump-diffusion model, stochastic volatility jump-diffusion model of Bates and the Black-Scholes model. The model parameters are estimated by using an optimization algorithm. Next, the effect of additional stochastic volatility extension on explaining the implied volatility smile phenomenon is investigated and it is found that both jumps and stochastic volatility are required. Moreover, the data fitting performances of three models are compared and it is shown that stochastic volatility jump-diffusion model gives relatively better results.
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