{"id":{"repo_id":"cape-town","oai_identifier":"oai:open.uct.ac.za:11427/4926"},"canonical_url":"https://search.dev.ndltd.org/etd/cape-town/oai:open.uct.ac.za:11427/4926","repository":{"repo_id":"cape-town","name":"University of Cape Town","base_url":"https://open.uct.ac.za/oai/request"},"display":{"title":"Simulation of asset prices using Lévy processes","abstract":"This dissertation focuses on a Lévy process driven framework for the pricing of financial instruments. The main focus of this dissertation is not, however, to price these instruments; the main focus is simulation based. Simulation is a key issue under Monte Carlo pricing and risk-neutral valuation- it is the first step towards pricing and therefore must be done accurately and with care. 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The main focus of this dissertation is not, however, to price these instruments; the main focus is simulation based. Simulation is a key issue under Monte Carlo pricing and risk-neutral valuation- it is the first step towards pricing and therefore must be done accurately and with care. This dissertation looks at different kinds of Lévy processes and the various approaches one can take when simulating them."]},{"key":"dc:title","label":"Title","values":["Simulation of asset prices using Lévy processes"]}]}],"canonical_facts":{"dc:contributor.advisor":["Ouwehand, Peter"],"dc:creator":["Riemer, Mark L"],"dc:date.accessioned":["2014-07-31T08:10:53Z"],"dc:date.available":["2014-07-31T08:10:53Z"],"dc:date.issued":["2008"],"dc:description":["Includes bibliographical references (leaves 93-97)."],"dc:description.abstract":["This dissertation focuses on a Lévy process driven framework for the pricing of financial instruments. The main focus of this dissertation is not, however, to price these instruments; the main focus is simulation based. Simulation is a key issue under Monte Carlo pricing and risk-neutral valuation- it is the first step towards pricing and therefore must be done accurately and with care. This dissertation looks at different kinds of Lévy processes and the various approaches one can take when simulating them."],"dc:identifier.uri":["http://hdl.handle.net/11427/4926"],"dc:language.iso":["eng"],"dc:publisher.department":["Department of Mathematics and Applied Mathematics"],"dc:publisher.institution":["University of Cape Town"],"dc:title":["Simulation of asset prices using Lévy processes"],"dc:type":["Master Thesis"],"dc:type.qualificationlevel":["Masters"],"dc:type.qualificationname":["MSc"]},"updated_at":"2026-07-22T22:22:43Z"}