@mastersthesis {Simula.simula.624,
	title = {Worst Case Hedges for Derivative Contracts},
	year = {2009},
	month = {January},
	publisher = {Lund Institute of Technology},
	type = {masters},
	abstract = {There is a wide range of stocks, commodities and banks to invest in on the market. In addition there are numerous bets on future rates and prices. Those bets are called derivatives. A reasonable price of a derivative is the expected profit from the bet. Financial mathematics aim at specifying the prices of derivatives. Almost all financial models assume the underlying (price or rate) to behave as a certain stochastic process. In this way all future values of the underlying is assigned a probability, and one may calculate the expected profit. This thesis investigates a model assuming nothing of that kind. No assumptions on the underlyings probability distribution are made. Instead one speci- fies what is not allowed to happen by having bounds on the evolution of the underlying. Such a model was introduced by Paul Wilmott and David Epstein in 1999. We search for a value spread of a portfolio on one underlying. The portfolio may consist of any simple derivatives as well as the underlying. Assuming the underlying takes the \&$\#$39;worst\&$\#$39; possible path allowed by the bounds, one gets a lower value of a contract. This value is called the worst value. Similarly the worst value for a negative share of a contract, a sold contract, is called the best value. The model is derived in a very general setting so that the underlying may refer to either a stock, rate or commodity price process. The works from Epstein and Wilmott are solely dedicated to interest rate markets, why the result section focuses on a stock market.},
	author = {Gillberg, Tor}
}
