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Skip to Search Results 7Frei, Christoph (Mathematical and Statistical Sciences)
 7Kong, Linglong (Mathematical and Statistical Sciences)
 7Lewis, Mark (Mathematical and Statistical Sciences)
 6Han, Bin (Mathematical and Statistical Sciences)
 6Hillen, Thomas (Mathematical and Statistical Sciences)
 6Mizera, Ivan (Mathematical and Statistical Sciences)

Fall 2014
Given an algebraic group G over a field k and a kalgebra R, the role of maximal abelian kdiagonalizable subalgebras (MAD for short) of G(R) is the same as that the split maximal torus play in G(k). Let G be a reductive group such that the derived subgroup is simply connected and let Spec(R) be...

Minimal Hellinger Deflators and HARA Forward Utilities with Applications: Hedging with Variable Horizon
DownloadFall 2013
This thesis develops three major essays on the topic of horizondependence for optimal portfolio. The first essay contributes extensively to the newest concept of forward utilities. In this essay, we describe explicitly three classes of forward utilitiesthat we call HARA forward utilitiesas...

Fall 2010
In Chapters 1 and 2, we introduce the definition of interpolating refinable function vectors in dimension one and high dimensions, characterize such interpolating refinable function vectors in terms of their masks, and derive their sum rule structure explicitly. We study biorthogonal refinable...

Fall 2012
This dissertation first reviews the construction of an optimal design for a straight linear regression model with uncorrelated errors when the experimenter seeks protection against the biases which will accrue if her straight line model is slightly erroneous. The optimal design is derived from...

Spring 2015
For a smooth projective variety defined over a number field, Beilinson (and independently Bloch) constructed a `height' pairing under very reasonable assumptions and with a number of conjectural properties. A folklore conjecture related to this pairing states that the rational Griffiths...

Spring 2016
A cell centered finite difference scheme for 2D parabolic problems on grids with a local refinement is presented. Peaceman and Rachford directional splitting is used in the discretization of time. The scheme is unconditionally stable and proven to be of second order convergence in time. Numerical...

Spring 2015
Motivated by the financial crisis of 20072009 and the increasing demand for portfolio and risk management, we study optimal insurance and investment problems with regime switching in this thesis. We incorporate an insurable risk into the classical consumption and investment framework and...

Fall 2013
This thesis considers PVol (Percentage of Volume) strategies, which are an often used type of algorithmic trading strategies. In a PVol strategy, the broker aims to bring the order execution speed in line with a percentage of the market volume. This target percentage and the total order size are...