Level Crossing Times in Mathematical Finance

<p>Level crossing times and their applications in finance are of importance, given certain threshold levels that represent the "desirable" or "sell" values of a stock. In this thesis, we make use of Wald's lemmas and various deep results from renewal theory, in the context of finance, in modelling the growth of a portfolio of stocks. Several models are employed .</p>

Name thesis:degree_name

MS (Master of Science)

Level thesis:degree_level

Thesis - unrestricted

Discipline thesis:degree_discipline

Mathematical Sciences

Year dc:date.issued

2013

Author dc:creator

• Osei, Ofosuhene

• level crossing
• math finance
• crossing times
• wald's applications
• wald's lemma
• crossing times models
• Mathematics
• Other Physical Sciences and Mathematics
• Other Statistics and Probability
• Portfolio and Security Analysis

Statement dc:rights

• Copyright by the authors.

Repository record dc:identifier

https://dc.etsu.edu/etd/1126

OAI identifier oai:identifier

oai:dc.etsu.edu:etd-2334