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Spring 2019
This thesis addresses two important topics of deflators and log-utility-related optimal portfolios for markets stopped at a random time T. This random time can model the death time of an agent in life insurance or the default time of a firm in credit risk. For the topic of deflators, the thesis...
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Fall 2014
This thesis develops three major essays on Arbitrage Theory, Market’s Viabil- ity and Informational Markets. The first essay (Chapter 3) elaborates the exact connections among the No-Unbounded-Profit-with-Bounded-Risk (called NUPBR hereafter) condition, the existence of the numeraire portfolio,...
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Spring 2014
The twenty-year period from 1990 to 2010 exhibited significant and consequential international economic phenomena. Global imbalances, primarily the U.S. current account deficit, were very prominent, along with the development and bursting of a real estate bubble, low interest rates and saving...