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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)

Option Pricing and Logarithmic EulerMaruyama Convergence of Stochastic Delay Equations driven by Levy process
DownloadFall 2021
In this thesis, we study the product formula for finitely many multiple ItˆoWiener 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 EulerMaruyama scheme for the SDDE. In...

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...

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...