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Bewertung und Absicherung von Derivaten in illiquiden Finanzmärkten

Bewertung und Absicherung von Derivaten in illiquiden Finanzmärkten

          
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About the Book

Diplomarbeit aus dem Jahr 2005 im Fachbereich Mathematik - Angewandte Mathematik, Note: 1,15, Universität Leipzig (Mathematisches Institut), Sprache: Deutsch, Abstract: Klassische finanzmathematische Theorien und Modelle, die sich mit der Bewertung und Absicherung von Derivaten beschäftigen, gehen von der Annahme friktionsloser Märkte (keine Transaktionskosten, keine Handelsrestriktionen) und insbesondere vollständig liquider Märkte aus, in denen die Wertpapierpreise vom Handelsvolumen unabhängig sind und jeder Händler als Preis-Nehmer agiert, was eine gute Approximation für hochliquide Wertpapiere darstellt. Jedoch sind im Falle Großer Händler, deren Handelstransaktionen einen erheblichen Anteil der verfügbaren Wertpapiere umfassen, die Preise durchaus von der Ordergröße abhängig und die angenommene Marktliquidität verschwindet. Somit ist die Notwendigkeit einer Theorie zur Bewertung und Absicherung von Derivaten in illiquiden Finanzmärkten gegeben. Dies führt u.a. auf den zentralen Begriff des Liquiditätsrisikos, als das zusätzliche Risiko, was auf den Zeitpunkt und den Umfang einer Handelstransaktion zurückzuführen ist. In der vorliegenden Arbeit wird ein derartiger Ansatz ausführlich vorgestellt und genauer untersucht. Dieses Modell von Çetin, Jarrow und Protter bildet, unter Beibehaltung der Preis-Nehmer Bedingung, mit Hilfe einer stochastischen Angebotskurve als Funktion der Ordergröße den Einfluss verschiedener Handelsvolumina auf den Preis ab und bindet auf diese Weise das Liquiditätsrisiko in die Arbitrage Pricing Theorie ein. Dabei werden die beiden Fundamentalen Theoreme der Wertpapierbewertung untersucht. Dies führt zu einer neuen Definition einer selbstfinanzierenden Handelsstrategie, einer Erweiterung des Begriffs der Marktvollständigkeit und zusätzlichen Restriktionen für Hedgingstrategien. Unter anderem wird gezeigt, dass für (in diesem Kontext) annähernd vollständige Märkte die Preise für Derivate identisch sind mit deren arbitragefreien Preisen de


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Product Details
  • ISBN-13: 9783638706322
  • Publisher: Grin Publishing
  • Binding: Paperback
  • Language: German
  • Returnable: N
  • Spine Width: 7 mm
  • Width: 148 mm
  • ISBN-10: 363870632X
  • Publisher Date: 28 Jul 2007
  • Height: 210 mm
  • No of Pages: 122
  • Series Title: German
  • Weight: 172 gr


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