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 12 of 12 for “"semimartingale"”.
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The Symbol of a Markov Semimartingale
… is then used to derive a quick approach to the semimartingale characteristics as well as the generator of the process under consideration. Finally we give some examples of how our methods work for processes used in mathematical finance.
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Derivative pricing and logarithmic portfolio optimization in incomplete markets
… minimal distance martingale measures in general semimartingale models. We do not consider special distances but the whole class of f-divergence distances defined by strictly convex, differentiable functions. <br>Another problem studied in this thesis is the determination of optimal portfolios for …
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On two utility maximization problems
… to the two problems is convex duality in a semimartingale market model. Utility maximization under ratchet and drawdown constraints on consumption in incomplete semimartingale markets. We consider the value function associated with this concave optimization problem as having two parameters: …
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Comparison of semimartingales and Lévy processes with applications to financial mathematics
… 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 for some classes of multivariate …
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Stochastic Geometric Mechanics and Symmetry
… are given by the action of a Lie group valued semimartingale on the deterministic solution and consequently, along directions transverse to the group orbits, these systems retain the same dynamics as their deterministic counterpart. Furthermore, we show that these systems can be described by …
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Asymptotics of the Rough Heston Model
… Brownian motion is neither Markovian nor a semimartingale. One idea is to investigate the behaviour of these models as maturities become very small (or very large) and consider asymptotic estimates for quantities of interest. Here we investigate the performance of small-time asymptotic …
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Testing for jumps and cojumps in financial markets
… For a multivariate process that follows a semimartingale, and with no other specific assumptions on the process, we form a test statistic which can easily disentangle jumps from continuous paths of the process. We prove that the test statistics are chi-square distributed in the absence of …
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Enlargement of Filtration, Backward Stochastic Differential Equations and Optimal Stopping Problems
… of filtration are derived, including a semimartingale decomposition theorem and a martingale representation theorem. The extensions then allow for the study of BSDEs and optimal stopping problems in an enlarged filtration. BSDEs are a very useful tool in stochastic optimal control and …
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Mean-variance hedging in an illiquid market
… traded asset is a continuous square integrable semimartingale, and we again use the Kunita-Watanabe decomposition, now under the variance optimal martingale measure, to find the mean-variance optimal strategy in feedback form. In an example, we consider the case where the two assets are driven …
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Rough volatility models
… as a consequence of fBM being neither a semimartingale nor a Markov process for H not equal to 1/2, most currently prevalent numerical pricing and calibration routines do not (easily) carry over to the rough setting. This thesis addresses this problem and contributes to the existing …
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Time-inhomogeneous Lévy processes in cross-currency market models
Anwendung von der zeit-inhomogenen Levy Prozessen <br>für die Bewertung von Cross-Currency Derivaten.