Goal priorities in multi-goal based planning

In this thesis we build a goal based planning framework that takes into account goal priorities. Goal based planning is a type of personal wealth planning, with a focus on the feasibility of an investor's goals. Currently, to take goal priorities into account a dynamic asset allocation is created. We focus on incorporating goal priorities by...

On conditional expectations in L ^p (μ; L ^q (ν; X))

Let (A, A, μ) and (B, B, ν) be probability spaces, let F be a sub-σ-algebra of the product σ-algebra A× B, let X be a Banach space and let 1 < p, q< ∞. We obtain necessary and sufficient conditions in order that the conditional expectation with respect to F defines a bounded linear operator from L ^p (μ; L ^q (ν; X)...

Interest Rate Derivative Pricing with Stochastic Volatility

One purpose of exotic derivative pricing models is to enable financial institutions to quantify and manage their financial risk, arising from large books of portfolios. These portfolios consist of many non-standard exotic financial products. Risk is managed by means of the evaluation of sensitivity parameters, i.e. the so-called Greeks, the...