No free lunch and risk measures on Orlicz spaces

Simple item page
dc.contributor.authorOffwood, Theresa Maria
dc.date.accessioned2012-09-12T09:39:52Z
dc.date.available2012-09-12T09:39:52Z
dc.date.issued2012-09-12
dc.description.abstractThe importance of Orlicz spaces in the study of mathematics of nance came to the for in the 2000's when Frittelli and his collaborators connected the theory of utility functions to Orlicz spaces. In this thesis, we look at how Orlicz spaces play a role in nancial mathematics. After giving an overview of scalar-valued Orlicz spaces, we look at the rst fundamental theorem of asset pricing in an Orlicz space setting. We then give a brief summary of scalar risk measures, followed by the representation result for convex risk measures on Orlicz hearts. As an example of a risk measure, we take a detailed look at the Wang transform both as a pricing mechanism and as a risk measure. As the theory of nancial mathematics is moving towards the set-valued setting, we give a description of vector-valued Orlicz hearts and their duals using tensor products. Lastly, we look at set-valued risk measures on Orlicz hearts, proving a robust representation theorem via a tensor product approach.en_ZA
dc.identifier.urihttp://hdl.handle.net/10539/11942
dc.language.isoenen_ZA
dc.subject.lcshOrlicz spaces.
dc.subject.lcshFunction spaces.
dc.titleNo free lunch and risk measures on Orlicz spacesen_ZA
dc.typeThesisen_ZA
Files
Original bundle
Now showing 1 - 2 of 2
No Thumbnail Available
Name:
TheresaOffwoodDeclaration.pdf
Size:
11.38 KB
Format:
Adobe Portable Document Format
Download
No Thumbnail Available
Name:
Theresa Offwood PhD Final.pdf
Size:
1.24 MB
Format:
Adobe Portable Document Format
Download
License bundle
Now showing 1 - 1 of 1
No Thumbnail Available
Name:
license.txt
Size:
1.71 KB
Format:
Item-specific license agreed upon to submission
Description:
Download
Collections
ETD Collection