{"id":{"repo_id":"uwo","oai_identifier":"oai:uwo.scholaris.ca:20.500.14721/36936"},"canonical_url":"https://search.dev.ndltd.org/etd/uwo/oai:uwo.scholaris.ca:20.500.14721/36936","repository":{"repo_id":"uwo","name":"Western University","base_url":"https://uwo.scholaris.ca/server/oai/request"},"display":{"title":"Essays on Portfolio Optimization, Simulation and Option Pricing","abstract":"This thesis consists of three papers which cover the efficient Monte Carlo simulation in option pricing, the application of realized volatility in trading strategies and geometrical analysis of a four asset mean variance portfolio optimization problem. The first paper studies different efficient simulation methods to price options with different characters such as moneyness and maturity times. The incomplete market environments are also been considered. The second paper uses realized volatility based on high frequency data to improve the volatility trading strategy. The performance is compared with that using the implied volatility. The last paper re-examines the Markowitz's portfolio optimization problem using a general case. It also extends the problem to four assets, it describes the exact mean variance efficient fronter in the weight space and studies the frontier in the mean variance space. The thesis may serve to help our understanding of how to apply numerical and analytical methods to solve financial problems.","abstract_html":"This thesis consists of three papers which cover the efficient Monte Carlo simulation in option pricing, the application of realized volatility in trading strategies and geometrical analysis of a four asset mean variance portfolio optimization problem. The first paper studies different efficient simulation methods to price options with different characters such as moneyness and maturity times. The incomplete market environments are also been considered. 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