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.
| Identifer | oai:union.ndltd.org:UPSALLA1/oai:DiVA.org:kth-76 |
| Date | January 2004 |
| Creators | Armerin, Fredrik |
| Publisher | KTH, Matematik, Stockholm : Matematik |
| Source Sets | DiVA Archive at Upsalla University |
| Language | English |
| Detected Language | English |
| Type | Doctoral thesis, monograph, info:eu-repo/semantics/doctoralThesis, text |
| Format | application/pdf |
| Rights | info:eu-repo/semantics/openAccess |
| Relation | TRITA-MAT, 1401-2286 ; 04:11 |
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