Thesis (M.S.)--Worcester Polytechnic Institute. / Keywords: variance-reduction techniques; Quasi- Monte Carlo; path-dependent securities; low-discrepancy methods. Includes bibliographical references (p. 64-65).

Thesis (Ph. D.)--Hong Kong University of Science and Technology, 2003. / Includes bibliographical references (leaves 95-99). Also available in electronic version. Access restricted to campus users.

In this thesis we discuss option pricing and hedging under regime switching models. To the standard model we add jumps of various types. In particular, we consider a jump that is synchronous with a change in the regime state. Thus, for example, we can define a process such that the stock price moves to a high volatility state and simultaneously has a large downward jump in returns. This type of model is consistent with market experience. We derive the compensator for our synchronous jumps and price options on such a price process using Fourier transforms. We also test the model on S&P futures options and show that it performs significantly better than a jump diffusion model. Furthermore, we look at the problem of hedging options under finitely many regime states and with finitely many possible jump sizes. We find risk-free hedge portfolios using the risk-free asset, the underlying asset, and finitely many options. Our risk-free trading strategy is consistent with any equivalent martingale measure, and so does not in itself specify which measure should be used to price options.

Thesis (Ph.D.)--York University, 2005. Graduate Programme in Mathematics and Statistics. / Typescript. Includes bibliographical references (leaves 69-75). Also available on the Internet. MODE OF ACCESS via web browser by entering the following URL: http://gateway.proquest.com/openurl?url_ver=Z39.88-2004&res_dat=xri:pqdiss&rft_val_fmt=info:ofi/fmt:kev:mtx:dissertation&rft_dat=xri:pqdiss:NR11585

Thesis (Ph. D.)--University of Texas at Austin, 2007. / Vita. Includes bibliographical references.

Assignment (MComm)--University of Stellenbosch, 2007. / Bibliography. Also available via the Internet.

Rijksuniv., Diss.--Groningen, 2004. / Zsfassung in engl. Sprache.

"Submitted in partial fulfillment of the requirements for the degree of Master of Business Administration from the Naval Postgraduate School, June 2009." / Advisor(s): Brook, Douglas ; Hensel, Nayantara ; Summers, Donald. "June 2009." "MBA professional report"--Cover. Description based on title screen as viewed on July 14, 2009. Author(s) subject terms: Oil, Price Elasticity of Demand, Hedging, Department of Defense, DoD, Fuel Purchases. Includes bibliographical references (p. 71-73). Also available in print.

Thesis (Ph. D.)--University of Texas at Austin, 2001. / Vita. Includes bibliographical references. Available also in a digital version from UMI/Dissertation Abstracts International.

Sankt Gallen, Univ., Diss., 2003.