by Li Xia. / Thesis (Ph.D.)--Chinese University of Hong Kong, 1996. / Includes bibliographical references (p. 129-134). / Electronic reproduction. Hong Kong : Chinese University of Hong Kong, [2012] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Mode of access: World Wide Web.

Gao, Fei. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2011. / Includes bibliographical references (leaves 52-53). / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 1.1 --- Option Pricing with GARCH --- p.1 / Chapter 1.2 --- Mean Reversion in GARCH --- p.3 / Chapter 1.3 --- Thesis Setting --- p.4 / Chapter 2 --- Literature Review --- p.5 / Chapter 2.1 --- GARCH Model --- p.5 / Chapter 2.2 --- Locally Risk-Neutral Valuation --- p.8 / Chapter 2.3 --- Conditional Esscher Transform --- p.9 / Chapter 3 --- The Model --- p.12 / Chapter 3.1 --- The Mean-Reverting GARCH Model --- p.12 / Chapter 3.2 --- The Characteristic Functions --- p.15 / Chapter 3.3 --- Identification of Pricing Measures --- p.21 / Chapter 3.3.1 --- Conditional Esscher Transform --- p.21 / Chapter 3.3.2 --- Our Proposed Change of Measure --- p.25 / Chapter 4 --- Option Pricing --- p.30 / Chapter 4.1 --- Fast Fourier Transform --- p.30 / Chapter 4.2 --- Option on Futures : --- p.32 / Chapter 4.3 --- Numerical Analysis --- p.35 / Chapter 5 --- Empirical Analysis - Application to the crude oil market --- p.37 / Chapter 5.1 --- Description of data --- p.37 / Chapter 5.2 --- Estimation --- p.38 / Chapter 5.3 --- Comparisons --- p.40 / Chapter 6 --- Summary and Future work --- p.42 / Chapter 7 --- Appendix --- p.43 / Bibliography --- p.52

Thesis (Ph.D.)--Massachusetts Institute of Technology, Dept. of Mathematics, 1980. / MICROFICHE COPY AVAILABLE IN ARCHIVES AND SCIENCE. / Bibliography: leaves 170-173. / by Daniel Ocone. / Ph.D.

No description available.

Zheng, Fangbing. / "September 2010." / Thesis (M.Phil.)--Chinese University of Hong Kong, 2010. / Includes bibliographical references (leaves 32-33). / Abstracts in English and Chinese.

Cheung, Man Wah. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2010. / Includes bibliographical references (leaves 50-53). / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 1.1 --- Stochastic Stability --- p.2 / Chapter 1.2 --- Some Examples --- p.3 / Chapter 1.3 --- Our Main Focus --- p.5 / Chapter 1.4 --- Thesis Outline --- p.6 / Chapter 2 --- KMR's Approach and its Variations --- p.7 / Chapter 2.1 --- KMR's Approach --- p.7 / Chapter 2.2 --- Variations --- p.12 / Chapter 2.2.1 --- Bergin and Lipman (1996) --- p.12 / Chapter 2.2.2 --- Anderlini and Ianni (1996) --- p.12 / Chapter 2.2.3 --- Robson and Vega-Redondo (1996) --- p.13 / Chapter 2.2.4 --- Robles (1998) and Pak (2008) --- p.13 / Chapter 3 --- Mathematical Reviews on Nonstationary Markov Chain --- p.15 / Chapter 3.1 --- Ergodic Coefficient --- p.15 / Chapter 3.2 --- Weak Ergodicity --- p.16 / Chapter 3.3 --- Strong Ergodicity --- p.18 / Chapter 4 --- Existing Works on Time-Dependent Mutation Rates --- p.20 / Chapter 4.1 --- Model and Definitions --- p.20 / Chapter 4.2 --- Sufficient Condition for Weak Ergodicity --- p.23 / Chapter 4.3 --- Sufficient Condition for Strong Ergodicity --- p.24 / Chapter 5 --- Time-Dependent Mutations and Empirical Distribution --- p.26 / Chapter 5.1 --- Model --- p.28 / Chapter 5.2 --- Convergence of Empirical Distribution --- p.30 / Chapter 5.3 --- Proofs of Claims --- p.35 / Chapter 5.3.1 --- Proofs of Claims l(a)-(d) --- p.36 / Chapter 5.3.2 --- Proof of Claim 2 --- p.39 / Chapter 6 --- Open Problems --- p.42 / Chapter 6.1 --- Numerical Example and Simulations --- p.43 / Chapter 6.2 --- Numerical Results --- p.44 / Chapter 6.3 --- Other Discussions --- p.47 / Chapter 7 --- Conclusion --- p.48 / Bibliography --- p.50

Lo, Yu Wai. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2008. / Includes bibliographical references (leaves 66-70). / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Literature Review --- p.8 / Chapter 2.1 --- Mean-reverting Model --- p.8 / Chapter 2.2 --- Volatility Smile --- p.11 / Chapter 2.3 --- Stochastic Volatility Model --- p.13 / Chapter 2.4 --- Multiscale Stochastic Volatility Model --- p.15 / Chapter 3 --- The Heston Stochastic Volatility --- p.17 / Chapter 3.1 --- The Model --- p.17 / Chapter 3.1.1 --- The Characteristic Function --- p.18 / Chapter 3.2 --- European Option Pricing --- p.24 / Chapter 3.2.1 --- Plain Vanilla Options --- p.25 / Chapter 3.2.2 --- Implied Volatility --- p.28 / Chapter 3.2.3 --- Other Payoff Functions --- p.30 / Chapter 3.3 --- Trinomial Tree: Exotic Option Pricing --- p.31 / Chapter 3.3.1 --- Sub-tree for the volatility --- p.33 / Chapter 3.3.2 --- Sub-tree for the asset --- p.34 / Chapter 3.3.3 --- Non-zero Correlation --- p.37 / Chapter 3.3.4 --- Calibration to Future prices --- p.38 / Chapter 3.3.5 --- Numerical Examples --- p.39 / Chapter 4 --- Multiscale Stochastic Volatility --- p.42 / Chapter 4.1 --- Model Settings --- p.42 / Chapter 4.2 --- Pricing --- p.44 / Chapter 4.3 --- Simulation studies --- p.54 / Chapter 5 --- Conclusion --- p.59 / Appendix --- p.61 / Chapter A --- Verifications --- p.61 / Chapter A.l --- Proof of Lemma 3.1.1 --- p.61 / Chapter B --- Black-Scholes Greeks --- p.64 / Bibliography --- p.66

This thesis presents results concerning the limiting behaviour of stochastic rumour processes. The first result involves our published analysis of the evolution for the general initial conditions of the (common) deterministic limiting version of the classical Daley-Kendall and Maki-Thompson stochastic rumour models, [14]. The second result being also part of the general analysis in [14] involves a new approach to stiflers in the rumour process. This approach aims at distinguishing two main types of stiflers. The analytical and stochastic numerical results of two types of stiflers in [14] are presented in this thesis. The third result is that the formulae to find the total number of transitions of a stochastic rumour process with a general case of the Daley-Kendall and Maki-Thompson classical models are developed and presented here, as already presented in [16]. The fourth result is that the problem is taken into account as an optimal control problem and an impulsive control element is introduced to minimize the number of final ignorants in the stochastic rumour process by repeating the process. Our published results are presented in this thesis as appeared in [15] and [86]. Numerical results produced by our algorithm developed for the extended [MT] model and [DK] model are demonstrated by tables in all details of numerical values in the appendices. / Thesis (Ph.D.) - University of Adelaide, School of Mathematical Sciences, 2008

"July 12, 2002" / Bibliography: p. 130-137 / viii, 160 leaves ; 30 cm. / Title page, contents and abstract only. The complete thesis in print form is available from the University Library. / Thesis (Ph.D.)--University of Adelaide, Dept. of Applied Mathematics, 2002

Albert H. Nuttall. / "May 26, 1958." Issued also as a thesis, M.I.T. Dept. of Electrical Engineering, May 19, 1958. / Bibliography: p. 57. / Army Signal Corps Contract DA36-039-sc-64637. Dept. of the Army Task 3-99-06-108 and Project 3-99-00-100.