Lam, Yu Fung. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2009. / Includes bibliographical references (leaves 40-43). / Abstract also in Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Methodology --- p.6 / Chapter 2.1 --- Brownian Motion --- p.6 / Chapter 2.2 --- Reflected Brownian Motion --- p.8 / Chapter 2.3 --- Partially Reflected Brownian Motion --- p.11 / Chapter 3 --- Numerical Analysis --- p.15 / Chapter 3.1 --- Comparison of RBM and PRBM --- p.15 / Chapter 3.2 --- Initial state far from the boundaries --- p.17 / Chapter 3.3 --- Initial state close to a boundary --- p.17 / Chapter 4 --- A Study of the USD/HKD Exchange Rate --- p.23 / Chapter 4.1 --- Data Description --- p.23 / Chapter 4.2 --- Testing for the Mean-reverting Property --- p.25 / Chapter 4.3 --- Testing for Decreasing Volatility near the Boundaries --- p.27 / Chapter 4.4 --- Estimation Results --- p.27 / Chapter 5 --- Conclusion --- p.31 / Chapter A --- Derivation of MLE estimator --- p.33 / Chapter B --- Numerical Laplace Inversion --- p.35 / Chapter C --- Augmented Dickey-Fuller Test --- p.39 / Bibliography --- p.40
| Identifer | oai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_326747 |
| Date | January 2009 |
| Contributors | Lam, Yu Fung., Chinese University of Hong Kong Graduate School. Division of Risk Management Science. |
| Source Sets | The Chinese University of Hong Kong |
| Language | English, Chinese |
| Detected Language | English |
| Type | Text, bibliography |
| Format | print, vii, 43 leaves : ill. ; 30 cm. |
| Rights | Use of this resource is governed by the terms and conditions of the Creative Commons “Attribution-NonCommercial-NoDerivatives 4.0 International” License (http://creativecommons.org/licenses/by-nc-nd/4.0/) |
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