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Skip to Search Results- 1Incomplete Market
- 1Market Completions
- 1Multidimensional Diffusion Market Model
- 1Partial Hedging
- 1Portfolio Rebalancing, Fractional Brownian Motion
- 1acquisitions
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Spring 2023
In present thesis I focus on development of method of market completions and its applications to various problems in pricing and hedging of contingent claims. Since theory of mathematical finance is well developed on complete markets, and corresponding solutions are well understood, method of...
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Fall 2015
In this thesis we organize the contents in three parts. The first part is about portfolio rebalancing with changing benchmarks and the second part is about modeling of fractional Brownian motion in financial market while the last part is the conclusion. In the first part, we introduce...
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Fall 2018
The main purpose of this thesis is to explore different risk-adjusted ratios, add correlation into account and see which one of them accommodates for risk the best way. In finance it is well-known that investors can not rely on pure return. Some fund managers can produce high return but at the...