Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 20 of 20 for “"Financial mathematics"”.
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The Martingale Approach to Financial Mathematics
… we will develop the fundamental properties of financial mathematics, with a focus on establishing meaningful connections between martingale theory, stochastic calculus, and measure-theoretic probability. We first consider a simple binomial model in discrete time, and assume the impossibility of …
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Comparison of semimartingales and Lévy processes with applications to financial mathematics
In this thesis we derive convex and increasing convex type orderings for multivariate semimartingales and the finite-dimensional distributions of Lévy processes. Appropriate ordering of the semimartingale characteristics implies ordering of the processes. We derive the propagation of order property …
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Two topics in financial mathematics : Forward utility and consumption functions & Hedging with variance swaps in infinite dimensions
Financial Mathematics is often presented as being composed of two main branches: one dealing with investment and consumption, with the aim of answering the now ancient question of how people should invest and spend their money, and the other dealing with the pricing and hedging of derivative …
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As possibilidades do uso da calculadora no ensino de Matemática financeira.
… the possibilities of using the calculator on financial mathematics teaching, basic education in order to show a way to broach the subject. The specific objectives are: to report the lived experience in the classroom when the calculator was used as a resource for Financial Mathematics teaching, …
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Avaliando uma proposta de ensino sobre matemática financeira: reflexões sobre o uso de tecnologias na EJA
… of Youth and Adult Education in the context of financial mathematics using technology. Some authors were essential to this work, as Rego(2010); Van de Walle(2009); Mendes(2009);Costa(2011); Fonseca(2005) among others. The characterization of the research regarding the goals was exploratory, …
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Making cents of yesterday, today and tomorrow : trading rules for volatility arbitrage
… of a valid and attractive practical problem in financial mathematics in the real world rather than a theoretical contribution. It has foci in statistical modelling of derivative (Black-Scholes) mechanics. The impetus for this research was initially gleaned while working with an active South …
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Stochastic modelling of financial markets with differential information
… last fifteen years or so, many articles in the financial mathematics literature have been concerned with using techniques of stochastic calculus to model financial markets in which different traders have access to different levels of information. This thesis aims to provide a coherent account of …
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Matemática financeira: Ultrapassando o muro da escola e adentrando no mercado de trabalho.
… of supervised stage IV in the course in Mathematics from a distance. In this experiment we decided to conduct an educational intervention in a classroom, at 1 year of high school, in Mathematics. We work the contents of financial mathematics, in interest to prepare students for the market …
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Educação financeira em sala de aula: o uso da matemática nas relações de consumo.
… great difficulty faced by people to manage their financial lives. The choice of Financial Education theme will meet this problem as a way of helping people to lead their personal and household budget efficiently. From this perspective, we present the development of a supervised internship in a …
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Utilização do estudo de matemática financeira no ensino de matemática: um olhar sob essa perspectiva numa turma de 8º ano do ensino fundamental.
… to emphasize the importance of the study of financial mathematics, in particular the simple interest, in a way that the learning process becomes dynamic and attractive to students sharpening, curiosity and awakening them a greater interest in the study. In this perspective the use of new …
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Advanced approaches to ruin probability and novel extensions of Hoeffding Inequalities in insurance mathematics
… risk management, and the complexities of financial mathematics has never been more imperative. This thesis provides a comprehensive exploration into the nuances of ruin probability and its critical importance in the modern financial landscape. By delving deep into the mathematical …
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Point symmetry methods for Itô Stochastic Differential Equations (SDE) with a finite jump process
… is very popular in mathematical modeling. In financial mathematics, they are used to describe the change of stock rates and bonanzas, and they are often used in mathematical biology modeling and population dynamics. In this thesis, we extended the Lie point symmetry theory of deterministic …
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Fractional stochastic volatility models: approximation, calibration and hedging
… and is always an interesting and vibrant area in financial mathematics, where the dynamic of the asset is a diffusion driven by Brownian motion and the dynamic of the volatility is associated with a diffusion driven also by another Brownian motion, instead of a fixed constant as in Black-Scholes …
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FRACTAL BASED FRAMEWORK FOR TIME SERIES VOLATILITY PREDICTION
… mathematical framework is presented for pricing financial derivatives and modelling asset behaviour by bringing together fractional Brownian motion (fBm), fuzzy logic, and jump processes, all aligned with the no–arbitrage principle. In particular, our mathematical developments include fBm defined …
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Polynomial Multi-Curve Models And Extensions In Mathematical Finance
This thesis is organized into three chapters: In the first chapter, we introduce the changes that have occurred in the fixed-income market due to the credit crisis in 2007–2008. We then discuss the impact of this crisis on the pre-crisis relation between zero-coupon bonds and forward rate …
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Information, insider trading and takeover announcements
… on the effect of takeover announcements in financial markets. We want to use a math model to analyze the inside traders' behavior when there is a potential takeover in the market. The thesis starts with a math model to capture the stock price dynamics, and then it states the term structure …
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Gain-Based Computing for Solving Optimisation Problems
… optimisation is a ubiquitous problem in financial mathematics that relies on accurate covariance matrices. However, estimates of pairwise covariance are notoriously poor and calculating time-sensitive optimal portfolios is energy-intensive for digital computers. We present an …
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Some optimal control problems in financial and actuarial mathematics
… control problems in actuarial science and financial mathematics. Chapter 1 provides an overview of the thesis and relevant topics that would be covered in the subsequent chapters. Chapters 2, 3, and 4 are concerned with three individual actuarial problems, which respectively study the fee …