Mihai Sirbu (UT Austin)

Title: Asymptotic analysis of utility-based prices and hedging strategies for utilities defined on the whole real line

Abstract: We perform an asymptotic expansion of utility-based prices and hedging strategies for small number of contingent claims, in the framework of optimal investment with general utilities defined on the whole real line. Conceptually, this follows previous joint work with Dmitry Kramkov and relies on using the risk-tolerance wealth processes as the natural numeraire for pricing and hedging. The quantitative analysis generalizes the work of Henderson for the case of exponential utility and basis-risk model and the qualitative part is related to the work of Mania & Schweizer, Becherer and Kallsen & Rheinlander. The presentation is based on work in progress.