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dc.contributor.authorLi, Shuang
dc.contributor.supervisorProf. Yong Wuen_US
dc.date.accessioned2017-10-04T02:43:09Z
dc.date.available2017-10-04T02:43:09Z
dc.date.issued2017
dc.identifier.urihttp://hdl.handle.net/20.500.11937/56545
dc.description.abstract

The first part of the study focuses on European and American option pricing. We explore the jump diffusion models with stochastic volatility within the general equilibrium framework and use the minimal martingale measure as martingale measure. The second part of the thesis is on portfolio optimization. We formulate optimal asset allocation problem with multiple-periods under mean variance utility in the game theoretic framework, develop and solve a series of extended HJB equations for the problem.

en_US
dc.publisherCurtin Universityen_US
dc.titleStudy of Various Stochastic Differential Equation Models for Financeen_US
dc.typeThesisen_US
dcterms.educationLevelPhDen_US
curtin.departmentDepartment of Mathematics and Statisticsen_US
curtin.accessStatusOpen accessen_US
curtin.facultyScience and Engineeringen_US


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