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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)
- 6Mizera, Ivan (Mathematical and Statistical Sciences)
- 5Hillen, Thomas (Mathematical and Statistical Sciences)
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Option Pricing and Logarithmic Euler-Maruyama Convergence of Stochastic Delay Equations driven by Levy process
DownloadFall 2021
In this thesis, we study the product formula for finitely many multiple Itˆo-Wiener integrals of Levy process, option pricing formula where the stock price is modelled by stochastic delay differential equation (SDDE) driven by Levy process and logarithmic Euler-Maruyama scheme for the SDDE. In...
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Fall 2021
The theory of convergence structures delivers a promising foundation on which to study general notions of convergence. However, that theory has one striking feature that stands out against all others: it is described using the language of filters. This is contrary to how convergence is used in...
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Fall 2021
Risk can be decomposed along two dimensions: risk allocation and risk attribution. On the one hand, the total risk of a company can be allocated to its divisions, using that the company’s profit/loss is the sum of the divisions’ profits/losses. On the other hand, risk is attributed to risk...