(Al Neelain University, 2007-01) WAFAA AHMED MOHAMMED SAID
We solve the problem of an agent who seeks to maximize expected
utility from consumption plus expected utility from terminal wealth and
give asummary of optimal consumption and portfolio method , the
market model is quite general , allowing the coefficient processes to be
stochastic process.
We study hedging strategies in incomplete market by compute the
upper hedging price hup (K) .
Finally , we get an optimal portifolio problem with logarithmic utility
in markets with insider where the deriving process is a l'evy process .
