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dc.contributor.authorYang, Yu
dc.contributor.supervisorYonghong Wuen_US
dc.contributor.supervisorBenchawan Wiwatanapatapheeen_US
dc.date.accessioned2020-08-05T05:25:03Z
dc.date.available2020-08-05T05:25:03Z
dc.date.issued2020en_US
dc.identifier.urihttp://hdl.handle.net/20.500.11937/80427
dc.description.abstract

The regime-switching jump-diffusion models have attracted great attention from the research community recently due to their ability to capture the random market movements during both short-term and long-term periods. This research focuses on the applications of various regime-switching jump-diffusion models to two important financial problems, the mean-variance asset-liability management problem and the pricing of variance (volatility) swaps, where little work has been done to our knowledge.

en_US
dc.publisherCurtin Universityen_US
dc.titleVarious Financial Applications of Regime-Switching Jump-Diffusion Modelsen_US
dc.typeThesisen_US
dcterms.educationLevelPhDen_US
curtin.departmentSchool of Electrical Engineering, Computing and Mathematical Sciencesen_US
curtin.accessStatusFulltext not availableen_US
curtin.facultyScience and Engineeringen_US
curtin.contributor.orcidYang, Yu [0000-0002-9150-7709]en_US
dc.date.embargoEnd2022-08-04


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