Mathematical Finance
Essays on mathematical finance
... Essays on Mathematical Finance Essays on Mathematical Finance Georgios Vichos Department of Statistics London School of Economics and Political Science This dissertation is submitted for the degree of[.] ...
100
Brownian excursions in mathematical finance
... Brownian Excursions in Mathematical Finance You You Zhang Department of Statistics The London School of Economics and Political Science A thesis submitted for the degree of Doctor of Philosophy Decemb[.] ...
141
The use of implied methodologies in mathematical finance
... The Use of Implied Methodologies in Mathematical Finance Dimitris Flamouris This completes the valuation of a two-asset basket option when the two underlying assets follow a Bernoulli ju[r] ...
200
Optimal stopping problems in mathematical finance
... The focus of this thesis is optimal stopping problems, which is an important and well- developed class of stochastic control problems. In such problems, we aim to find stopping times, at which the underlying stochastic ...
111
The Calibration of Some Stochastic Volatility Models Used in Mathematical Finance
... Stochastic volatility models are used in mathematical finance to describe the dynamics of asset prices. In these models, the asset price is modeled as a stochastic process depending on time im- plicitly ...
11
Parisian excursions of Brownian motion and their applications in mathematical finance
... to mathematical finance, for example we can price an option which pays off an amount proportional to the number of times the stock price stays above a certain level for a period of ...
107
Non Negativity Preserving Numerical Algorithms for Problems in Mathematical Finance
... We give a study result to analyze a rather different, semi-analytical numerical algorithms based on splitting-step methods with their applications to mathe- matical finance. As certain subsistent numerical schemes ...
23
The stability of an equation from mathematical finance without the boundary value condition
... where Ω ⊂ R 2 is a domain with the suitably smooth boundary ∂Ω. Equation (1.1) arises from mathematical finance [1], or from nonlinear physical phenomena such as the com- bined effects of diffusion with convection of ...
17
Stochastic modelling and equilibrium in mathematical finance and statistical sequential analysis
... The concept of an economy in equilibrium, by looking at prices as a result of supply and demand forces, was introduced in Walras [117]. For the first time existence of equilibrium was proved in a static ...
162
Tools from Stochastic Analysis for Mathematical Finance: A Gentle Introduction
... INVERSION OF THE CHARACTERISTIC FUNCTION AND THE COS METHOD Figure 12.2: COS Method: error in approximating the standard Normal distribution by changing N... INVERSION OF THE CHARACTERIS[r] ...
320
Essays on mathematical finance: Applications of moment expansions and filtering theory
... Several papers deal with characteristics of prices in carbon emissions markets. Carmona, Fehr, Hinz and Porchet (2009) studied cap-and-trade schemes in an equilibrium setting and gave several qualitative properties of ...
147
On inverse problems in mathematical finance
... Recovering one-dimensional generalised diffusions from perpetual option prices Given a discount parameter, an objective function and a time-homogeneous diffusion started at a fixed point[r] ...
132
Excursions of Levy processes and applications in mathematical finance and insurance
... As mentioned at the beginning, another application of the excursion time is in insurance. According to the bankruptcy regulations in many counties, such as U.S., Japan and Prance, the defaulted firm is granted some ...
167
Diploma in Mathematical Finance, Oxford University
... • Estimates based on constant parameter models can be very inaccurate • Sensitivities vary over time, but OLS estimates don’t fully reflect this variation • Use exponentially weighted mo[r] ...
19
Islamic finance: complement or substitute to conventional finance?
... Islamic finance can provide a credible alternative since it is based on the principle of direct participation in the risk of investment and the prohibition to sell products that do not exist, in addition, all ...
13
Finance Committee FINANCE AND CORPORATE SERVICES DIVISION
... Andrew Nazareth, General Manager, Finance and Corporate Services, advised that additional programming or service level requests that have been identified by staff or Coun[r] ...
5
Finance versus democracy?: theorizing finance in society
... between finance and the state depends on whether states are demo- cratic or captured by ...of finance in the interests of the wider economy and ...of finance. This social democratic regulation of ...
20
Mathematical Practices
... CC.5.G.1 Graph points on the coordinate plane to solve real-world and mathematical problems. Use a pair of perpendicular number lines, called axes, to define a coordinate system, with the intersection of the lines ...
52
The Mathematical Intelligencer
... HOME GENERAL INFORMATION EDITORIAL BOARD & SOCIETIES EDITORIAL CALENDAR RATES PRINT AD ONLINE AD CONTACT ONLINE AD es, and b[r] ...
9
Mathematical reasoning
... Mathematical Reasoning lessons focus on developing pupils’ understanding of number and quantitative reasoning. They cover principles such as place value and the inverse relation between addition and subtraction. ...
71