Overview of Utility-Based Valuation

Dynamic Exponential Utility Indifference Valuation

We study the dynamics of the exponential utility indifference value process C(B; α) for a contingent claim B in a semimartingale model with a general continuous filtration. We prove that C(B; α) is (the first component of) the unique solution of a backward stochastic differential equation with a quadratic generator and obtain BMO estimates for the components of this solution. This allows us to ...

Rational Hedging and Valuation with Utility-Based Preferences

In this thesis, we study stochastic optimization problems in which concave functionals are maximized on spaces of stochastic integrals. Such problems arise in mathematical finance for a risk-averse investor who is faced with valuation, hedging, and optimal investment problems in incomplete financial markets. We are mainly concerned with utility-based methods for the valuation and hedging of non...

Utility Indifference Pricing - An Overview

Sorghum Transformation: Overview and Utility

Over the past decade genomics resources available for sorghum have rapidly expanded (Paterson Int J Plant Genomics 2008:6, 2008), these resources, coupled with the recent completion of the genome sequence which is relatively small in size (730 Mb) (Paterson et al. Nature 457:551–556, 2009) makes sorghum a rather attractive species to study. Moreover, the USDA germplasm system maintains 42,614 a...

A Checklist for Reporting Valuation Studies of Multi-Attribute Utility-Based Instruments (CREATE)

Multi-attribute utility-based instruments (MAUIs) assess health status and provide an index score on the full health-dead scale, and are widely used to support reimbursement decisions for new healthcare interventions worldwide. A valuation study is a key part of the development of MAUIs, with the primary goal of developing a scoring algorithm through eliciting societal preferences. We developed...